Statistical Arbitrage and Securities Prices

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Estimation of Risk-Neutral Densities Using Positive Convolution Approximation (2003, unknown): “(1) pricing exotic derivatives from prices of the standard ones, (2) assessing the market beliefs about important political and economic events—Campa and Chang (1996), Melick and Thomas (1997), Leahy and Thomas (1996), SD oderlind and Swensson (1997), SD oderlind (2000), (3) estimating parameters of”
Why are Put Options so Expensive (2014, unknown): “To test whether explanations E1-E3 have merit, we implement a new methodology proposed in Bondarenko (2003a).”
An Empirical Portfolio Perspective on Option Pricing Anomalies (2007, background): “OTM puts and ATM straddles with these characteristics in terms of moneyness and maturity are known to be very liquidly traded (see e.g., Figure 1 in Bondarenko (2003b)) and have been analyzed extensively in the recent option pricing literature, making both obvious choices as benchmark strategies.”