Working paper
Empirical Option Pricing Models
NBER working paper series, Vol.29554
National Bureau of Economic Research
12/2021
DOI: 10.3386/w29554
Abstract
This paper is an overview of empirical options research, with primary emphasis on research into systematic stochastic volatility and jump risks relevant for pricing stock index options. The paper 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 Bates
- Resource Type
- Working paper
- Publication Details
- NBER working paper series, Vol.29554
- Publisher
- National Bureau of Economic Research; Cambridge, Massachusetts
- DOI
- 10.3386/w29554
- Number of pages
- 31 pages
- Language
- English
- Date posted
- 12/2021
- Academic Unit
- Economics; Finance
- Record Identifier
- 9984537360302771
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