Journal article
Empirical Option Pricing Models
Annual review of financial economics, Vol.14(1), pp.369-389
01/01/2022
DOI: 10.1146/annurev-financial-111720-091255
Abstract
This article provides an overview of empirical options research, with primary emphasis on research into systematic stochastic volatility and jump risks relevant for pricing stock index options. It reviews evidence from time series analysis, option prices, and option price evolution regarding those risks and discusses required compensation.
Details
- Title: Subtitle
- Empirical Option Pricing Models
- Creators
- David S. Bates - Univ Iowa, Henry B Tippie Coll Business, Iowa City, IA 52242 USA
- Resource Type
- Journal article
- Publication Details
- Annual review of financial economics, Vol.14(1), pp.369-389
- Publisher
- Annual Reviews
- DOI
- 10.1146/annurev-financial-111720-091255
- ISSN
- 1941-1367
- eISSN
- 1941-1375
- Number of pages
- 21
- Language
- English
- Date published
- 01/01/2022
- Academic Unit
- Finance
- Record Identifier
- 9984380440402771
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