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I think you are right. Now when I check papers I've used for my thesis I don't see almost any with empirical data section. Maybe this one will be helpful: Roswell E. Mathis, III, Gerald O., Bierwag Pricing Eurodollar Futures Options with Ho and Lee and Black, Derman, and Toy Models: An Empirical Comparison


I am at the beginning of my graduate research in the area of finance, and have a Bachelor's degree in mathematics. A first approach would be to look for the right keywords in databases, such as Jstor or SSRN, but it may be a bit difficult to find quantitative topics in the latter at least. It is not necessary to first look for what has been done. If the ...


I can tell you what I did for my undergraduate thesis (which was a required component on my degree in Mathematics.) I picked a paper on option pricing which gave, as a main result, the closed for solution for the price of an American and Asian Put Option. My contribution was to apply the Fourier Transform to the initial equation in order to simplify the ...


You can download the time series of e.g. S&P500 prices from NYSE, then their dates should well represent approximately the real NYSE trading days.

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