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dc.contributor.authorAboura, Sofiane*
dc.date.accessioned2014-08-26T12:09:25Z
dc.date.available2014-08-26T12:09:25Z
dc.date.issued2013-07
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/13809
dc.language.isoenen
dc.subjectImplied Volatilityen
dc.subjectStochastic Volatility Modelen
dc.subjectJump Diffusion Modelen
dc.subjectSkewnessen
dc.subjectKurtosisen
dc.subject.ddc332en
dc.subject.classificationjelC.C4.C40en
dc.subject.classificationjelG.G1.G15en
dc.subject.classificationjelG.G2.G24en
dc.titleEmpirical Performance Study of Alternative Option Pricing Models: An Application to the French Option Marketen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThe mispricing of the deep-in-the money and deep-out-the-money generated by the Black and Scholes model is now well documented in the literature. In this paper, we discuss different option valuation models on the basis of empirical tests carry out on the French option market. We examine methods that account for non-normal skewness and kurtosis, relax the martingale restriction, mix two log-normal distributions, and allows either for jump diffusion process or for stochastic volatility. We find that the use of a jump diffusion and stochastic volatility model performs as well as the inclusion of non normal skewness and kurtosis in terms of precision in the option valuation.en
dc.relation.isversionofjnlnameJournal of Stock & Forex Trading
dc.relation.isversionofjnlvol2en
dc.relation.isversionofjnlissue2en
dc.relation.isversionofjnldate2013-07
dc.relation.isversionofjnlpages1-10en
dc.relation.isversionofdoi10.4172/2168-9458.1000108en
dc.relation.isversionofjnlpublisherOMICSen
dc.subject.ddclabelEconomie financièreen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.halcandidateoui
dc.description.readershipRecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
hal.person.labIds1032*
hal.identifierhal-01531319*


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