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dc.contributor.authorAboura, Sofiane*
dc.contributor.authorValeyre, Sébastien*
dc.contributor.authorWagner, Niklas*
dc.date.accessioned2014-10-07T09:44:04Z
dc.date.available2014-10-07T09:44:04Z
dc.date.issued2014-08
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/14003
dc.language.isoenen
dc.subjectEuropean-style option pricingen
dc.subjectVolatility smileen
dc.subjectRisk modelen
dc.subjectDerivatives
dc.subjectOption Pricing
dc.subjectOptions
dc.subject.ddc332en
dc.subject.classificationjelC.C1.C13en
dc.subject.classificationjelC.C1.C16en
dc.subject.classificationjelG.G1.G13en
dc.titleOption pricing with a dynamic fat-tailed modelen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenIn the aftermath of the 2008 financial crisis, the need to consider more realistic risk models for derivative products has received renewed attention. We introduce a dynamic model for the pricing of European-style options with various attractive features such as a mixture of heavy-tails and Gaussian distribution along with a leverage effect property. We test the model on FTSE 100 stock index options during the period of January 2008 to June 2009. Our empirical results show that the model adequately fits the volatility smile dynamics particularly during stress periods. Furthermore, we find that the leverage effect form is driven by the sticky-strike rule.en
dc.relation.isversionofjnlnameJournal of Derivatives & Hedge Funds
dc.relation.isversionofjnlvol20en
dc.relation.isversionofjnlissue3en
dc.relation.isversionofjnldate2014-08
dc.relation.isversionofjnlpages131-155en
dc.relation.isversionofdoi10.1057/jdhf.2014.16en
dc.relation.isversionofjnlpublisherPalgrave Macmillanen
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.person.labIds*
hal.person.labIds233373*
hal.identifierhal-01531191*


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