{"id":"https://openalex.org/W2197807594","doi":null,"title":"Evaluating Option Pricing Model Performance Using Model Uncertainty","display_name":"Evaluating Option Pricing Model Performance Using Model Uncertainty","publication_year":2014,"publication_date":"2014-01-01","ids":{"openalex":"https://openalex.org/W2197807594","mag":"2197807594"},"language":"en","primary_location":{"id":"pmh:oai:RePEc:crf:wpaper:14-06","doi":null,"is_oa":false,"landing_page_url":"http://wwwen.uni.lu/content/download/71180/900104/file/Evaluating%20Option%20Pricing%20Model%20Performance%20Using%20Model%20Uncertainty_Bams_Blanchard_Lehnert_March%202014.pdf","pdf_url":"http://wwwen.uni.lu/content/download/71180/900104/file/Evaluating%20Option%20Pricing%20Model%20Performance%20Using%20Model%20Uncertainty_Bams_Blanchard_Lehnert_March%202014.pdf","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},"volume":null,"type":"preprint","is_traditional":true,"indexed_in":[],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://orbilu.uni.lu/bitstream/10993/18513/1/Evaluating%20Option%20Pricing%20Model%20Performance%20Using%20Model%20Uncertainty_Bams_Blanchard_Lehnert_March%202014.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5008305353","display_name":"Thorsten Lehnert","orcid":"https://orcid.org/0000-0002-0470-0851","observed_orcids":["https://orcid.org/0000-0002-0470-0851"]},"institutions":[{"id":"https://openalex.org/I186903577","display_name":"University of Luxembourg","ror":"https://ror.org/036x5ad56","country_code":"LU","type":"education","lineage":["https://openalex.org/I186903577"]}],"countries":["LU"],"is_corresponding":false,"raw_author_name":"Thorsten Lehnert","raw_affiliation_strings":["University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Luxembourg School of Finance (LSF)"],"raw_orcid":"https://orcid.org/0000-0002-0470-0851","affiliations":[{"raw_affiliation_string":"University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Luxembourg School of Finance (LSF)","institution_ids":["https://openalex.org/I186903577"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5008521499","display_name":"Gildas Blanchard","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Gildas Blanchard","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5067821599","display_name":"Dennis Bams","orcid":"https://orcid.org/0000-0003-3644-7130","observed_orcids":["https://orcid.org/0000-0003-3644-7130"]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Dennis Bams","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":true,"cited_by_count":0,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9829000234603882,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9829000234603882,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.014999999664723873,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.0010000000474974513,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/option-pricing-models","display_name":"option pricing models","score":0.902999997138977},{"id":"https://openalex.org/keywords/model-uncertainty","display_name":"model uncertainty","score":0.9179999828338623},{"id":"https://openalex.org/keywords/parameter-uncertainty","display_name":"parameter uncertainty","score":0.7799999713897705},{"id":"https://openalex.org/keywords/volatility-modeling","display_name":"volatility modeling","score":0.7630000114440918},{"id":"https://openalex.org/keywords/volatility-clustering","display_name":"volatility clustering","score":0.9150000214576721},{"id":"https://openalex.org/keywords/leverage-effect","display_name":"leverage effect","score":0.7739999890327454}],"concepts":[{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.6591506004333496},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6446278095245361},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.5803383588790894},{"id":"https://openalex.org/C153083717","wikidata":"https://www.wikidata.org/wiki/Q6535263","display_name":"Leverage (statistics)","level":2,"score":0.5755369663238525},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5040444731712341},{"id":"https://openalex.org/C104859751","wikidata":"https://www.wikidata.org/wiki/Q5450390","display_name":"Finite difference methods for option pricing","level":4,"score":0.43784064054489136},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.3591604232788086},{"id":"https://openalex.org/C163128081","wikidata":"https://www.wikidata.org/wiki/Q1338307","display_name":"Black\u2013Scholes model","level":3,"score":0.35241636633872986},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"pmh:oai:RePEc:crf:wpaper:14-06","doi":null,"is_oa":false,"landing_page_url":"http://wwwen.uni.lu/content/download/71180/900104/file/Evaluating%20Option%20Pricing%20Model%20Performance%20Using%20Model%20Uncertainty_Bams_Blanchard_Lehnert_March%202014.pdf","pdf_url":"http://wwwen.uni.lu/content/download/71180/900104/file/Evaluating%20Option%20Pricing%20Model%20Performance%20Using%20Model%20Uncertainty_Bams_Blanchard_Lehnert_March%202014.pdf","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"pmh:oai:orbilu.uni.lu:10993/18513","doi":null,"is_oa":true,"landing_page_url":"https://orbilu.uni.lu/handle/10993/18513","pdf_url":"https://orbilu.uni.lu/bitstream/10993/18513/1/Evaluating%20Option%20Pricing%20Model%20Performance%20Using%20Model%20Uncertainty_Bams_Blanchard_Lehnert_March%202014.pdf","source":{"id":"https://openalex.org/S4306401815","display_name":"Open Repository and Bibliography (University of Luxembourg)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I186903577","host_organization_name":"University of Luxembourg","host_organization_lineage":["https://openalex.org/I186903577"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"http://purl.org/coar/resource_type/c_8042"},{"id":"mag:2197807594","doi":null,"is_oa":false,"landing_page_url":"https://orbilu.uni.lu/bitstream/10993/18513/1/Evaluating%20Option%20Pricing%20Model%20Performance%20Using%20Model%20Uncertainty_Bams_Blanchard_Lehnert_March%202014.pdf","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"RePEc: Research Papers in Economics","raw_type":null}],"best_oa_location":{"id":"pmh:oai:orbilu.uni.lu:10993/18513","doi":null,"is_oa":true,"landing_page_url":"https://orbilu.uni.lu/handle/10993/18513","pdf_url":"https://orbilu.uni.lu/bitstream/10993/18513/1/Evaluating%20Option%20Pricing%20Model%20Performance%20Using%20Model%20Uncertainty_Bams_Blanchard_Lehnert_March%202014.pdf","source":{"id":"https://openalex.org/S4306401815","display_name":"Open Repository and Bibliography (University of Luxembourg)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I186903577","host_organization_name":"University of Luxembourg","host_organization_lineage":["https://openalex.org/I186903577"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"http://purl.org/coar/resource_type/c_8042"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2197807594.pdf","grobid_xml":"https://content.openalex.org/works/W2197807594.grobid-xml"},"referenced_works_count":27,"referenced_works":["https://openalex.org/W1974036667","https://openalex.org/W2007694684","https://openalex.org/W2022852674","https://openalex.org/W2025006397","https://openalex.org/W2026302029","https://openalex.org/W2052109821","https://openalex.org/W2070016512","https://openalex.org/W2071774723","https://openalex.org/W2077791698","https://openalex.org/W2083409253","https://openalex.org/W2086026186","https://openalex.org/W2105076382","https://openalex.org/W2125536334","https://openalex.org/W2127165238","https://openalex.org/W2129220488","https://openalex.org/W2146848558","https://openalex.org/W2162499457","https://openalex.org/W2164923280","https://openalex.org/W3121171935","https://openalex.org/W3121764760","https://openalex.org/W3122070388","https://openalex.org/W3122580191","https://openalex.org/W3123686478","https://openalex.org/W3124100928","https://openalex.org/W3124597381","https://openalex.org/W3124896067","https://openalex.org/W3125696988"],"related_works":["https://openalex.org/W2901077823","https://openalex.org/W2163459683","https://openalex.org/W7020885722","https://openalex.org/W3125095349","https://openalex.org/W1970945342","https://openalex.org/W2493098849","https://openalex.org/W7099214783","https://openalex.org/W3125979591","https://openalex.org/W3125425641","https://openalex.org/W2064829868"],"abstract_inverted_index":{"The":[0,200],"objective":[1],"of":[2,40,71,162,188,210,218,225],"this":[3,17,198],"paper":[4],"is":[5,56,110],"to":[6,58,67,133,184,206],"evaluate":[7],"option":[8,60,101,118,142,157,167,189],"pricing":[9,37,61,77,102,119,143,168],"performance":[10],"on":[11,74,145,236],"the":[12,31,35,52,69,75,100,130,152,160,215,219],"cross":[13],"sectional":[14],"level.":[15],"For":[16],"purpose,":[18],"we":[19,26,44,84,106,221],"propose":[20,193],"a":[21,41,80,146,185,194,207,231],"statistical":[22,178],"framework,":[23],"in":[24,27,116,156],"which":[25],"particular":[28],"account":[29],"for":[30,51,99,170],"uncertainty":[32,73],"associated":[33],"with":[34,92],"reported":[36,76],"performance.":[38,62,78],"Instead":[39],"single":[42,186],"figure,":[43],"determine":[45],"an":[46,227],"entire":[47],"probability":[48],"distribution":[49],"function":[50,54],"loss":[53],"that":[55,88,108,196,229],"used":[57],"measure":[59],"This":[63,121],"methodology":[64,195],"enables":[65],"us":[66],"visualize":[68],"effect":[70],"parameter":[72],"Using":[79],"data":[81],"driven":[82],"approach,":[83],"confirm":[85],"previous":[86],"evidence":[87],"standard":[89],"volatility":[90,234],"models":[91,144,211],"clustering":[93],"and":[94,139,165,212],"leverage":[95],"effects":[96],"are":[97],"sufficient":[98],"purpose.":[103],"In":[104,214],"addition,":[105],"demonstrate":[107],"there":[109],"short-term":[111],"persistence":[112],"but":[113],"long-term":[114],"heterogeneity":[115,155],"crosssectional":[117],"information.":[120],"finding":[122],"has":[123,181],"two":[124],"important":[125],"implications.":[126],"First,":[127],"it":[128],"justifies":[129],"practitioner\u2019s":[131],"routine":[132],"refrain":[134],"from":[135],"time":[136,233],"series":[137],"approaches,":[138],"instead":[140],"estimate":[141],"cross-section":[147,149,172,187],"by":[148,223],"basis.":[150],"Second,":[151],"long":[153],"term":[154],"prices":[158,190],"pinpoints":[159],"importance":[161],"measuring,":[163],"comparing":[164],"testing":[166,179],"model":[169,235],"each":[171],"separately.":[173],"To":[174],"our":[175],"knowledge":[176],"no":[177],"framework":[180,202],"been":[182],"applied":[183,205],"before.":[191],"We":[192],"addresses":[197],"need.":[199],"proposed":[201],"can":[203],"be":[204],"broad":[208],"set":[209],"data.":[213],"empirical":[216],"part":[217],"paper,":[220],"show":[222],"means":[224],"example,":[226],"application":[228],"uses":[230],"discrete":[232],"S&P":[237],"500":[238],"European":[239],"options.":[240]},"counts_by_year":[],"updated_date":"2026-10-12T09:40:04.860316","created_date":"2016-06-24T00:00:00"}