{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,8,7]],"date-time":"2025-08-07T08:52:19Z","timestamp":1754556739179},"reference-count":0,"publisher":"Cambridge University Press (CUP)","issue":"4","license":[{"start":{"date-parts":[[2001,7,27]],"date-time":"2001-07-27T00:00:00Z","timestamp":996192000000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2001,8]]},"abstract":"<jats:p>This paper develops an econometric framework for (i) \nestimating excess returns of the security process from \nhigh frequency derivative prices, (ii) testing for risk \nneutral pricing, and (iii) measuring premiums outside the \nno-arbitrage pricing model. The estimator is constructed \nby applying quasi-likelihood and Feynman\u2013Kac theory \nto the risk neutral contingent claims pricing model to \ngenerate the optimal orthogonality restriction. The strong \nconsistency and asymptotic normality of the estimator are \nestablished in the context of a nonstationary underlying \nstate process. These results further imply that the estimator \nis robust to distributional assumptions on the underlying \nasset process. The proposed approach is applicable to any \narbitrary derivative security, does not require estimation \nof the risk neutral probability measure, and has application \nto spot rate bond pricing models. A controlled diagnostic \nstudy based on generating the S&amp;P500 index and calls \nverifies the ability of the estimators to correctly estimate \nsecurity excess returns and test for risk neutral pricing. \nThe estimator is invariant to call strikes, and larger \nsamples constructed by cycling over shorter maturity options \ncan be used to reduce its variance.<\/jats:p>","DOI":"10.1017\/s0266466601174062","type":"journal-article","created":{"date-parts":[[2002,7,27]],"date-time":"2002-07-27T09:16:52Z","timestamp":1027761412000},"page":"785-819","source":"Crossref","is-referenced-by-count":5,"title":["ESTIMATION OF EXCESS RETURNS FROM DERIVATIVE PRICES \nAND TESTING FOR RISK NEUTRAL PRICING"],"prefix":"10.1017","volume":"17","author":[{"given":"Gurupdesh S.","family":"Pandher","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2001,7,27]]},"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466601174062","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,4,8]],"date-time":"2019-04-08T15:21:13Z","timestamp":1554736873000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466601174062\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2001,7,27]]},"references-count":0,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2001,8]]}},"alternative-id":["S0266466601174062"],"URL":"https:\/\/doi.org\/10.1017\/s0266466601174062","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2001,7,27]]}}}