A new methodology for statistically testing contingent-claims asset-pricing models based on asymptotic statistical theory is proposed. It is introduced in the context of the Black-Scholes option-pricing model, for which some illustrative estimation, inference, and simulation results are also presented. The proposed methodology is then extended to arbitrary contingent claims by first considering the estimation problem for general Ito processes and then deriving the distribution of a general contingent claim which depends upon such Ito processes.

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