• xmlui.mirage2.page-structure.header.title
    • français
    • English
  • Help
  • Login
  • Language 
    • Français
    • English
View Item 
  •   BIRD Home
  • DRM (UMR CNRS 7088)
  • DRM : Publications
  • View Item
  •   BIRD Home
  • DRM (UMR CNRS 7088)
  • DRM : Publications
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

Browse

BIRDResearch centres & CollectionsBy Issue DateAuthorsTitlesTypeThis CollectionBy Issue DateAuthorsTitlesType

My Account

LoginRegister

Statistics

Most Popular ItemsStatistics by CountryMost Popular Authors
Thumbnail - Request a copy

Pricing CAC 40 Index Options with Stochastic Volatility

Aboura, Sofiane (2005), Pricing CAC 40 Index Options with Stochastic Volatility, Journal of Derivatives Accounting, 2, 1, p. 77-85. 10.1142/S0219868105000343

Type
Article accepté pour publication ou publié
Date
2005
Journal name
Journal of Derivatives Accounting
Volume
2
Number
1
Publisher
World Scientific Publishing
Pages
77-85
Publication identifier
10.1142/S0219868105000343
Metadata
Show full item record
Author(s)
Aboura, Sofiane
Dauphine Recherches en Management [DRM]
Abstract (EN)
This paper fulfills the lack of option pricing empirical studies devoted to the French market and is also the first paper that brings a comparison between the Heston (1993) closed-form solution model and the Hull and White (1988) model, built in a series expansion form. The empirical study is carried out on French PXL European call options written on the CAC 40 index during the first half of 2001. We discuss calibration and results obtained from the out-of-sample pricing using analysis in cross-section. We also discuss the empirical dynamic of the skew. We found that misprising was globally decreasing with maturity and low strike prices. We found that both models offered comparable pricing performance except for the short-term contracts and deep-out-the-money calls where the Hull and White (1988) model failed much more that the Heston (1993) model. To fit the implied volatility dynamic, the Heston (1993) model allows smile patterns to transform into skew patterns while the Hull and White (1988) model allows only for changes in the skew slope sign. However, we show that this is linked with the values of the structural parameters.
Subjects / Keywords
Implied volatility; skew and smile; stochastic volatility model
JEL
G10 - General
C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

Related items

Showing items related by title and author.

  • Thumbnail
    Pricing CAC 40 Index Options under Asymmetry of Information 
    Aboura, Sofiane (2005-01) Article accepté pour publication ou publié
  • Thumbnail
    The Introduction of the CAC40 Master Unit and the CAC40 Index Spot-Futures Pricing Relationship 
    Gresse, Carole; Deville, Laurent; de Séverac, Béatrice (2005) Communication / Conférence
  • Thumbnail
    Cross-market volatility index with Factor-DCC 
    Aboura, Sofiane; Chevallier, Julien (2015-12) Article accepté pour publication ou publié
  • Thumbnail
    Geographical Diversification with a World Volatility Index 
    Chevallier, Julien; Aboura, Sofiane (2015) Article accepté pour publication ou publié
  • Thumbnail
    Option Pricing with a Dynamic Fat-Tailed Model 
    Aboura, Sofiane; Valeyre, Sébastien; Wagner, Niklas (2013-03) Communication / Conférence
Dauphine PSL Bibliothèque logo
Place du Maréchal de Lattre de Tassigny 75775 Paris Cedex 16
Phone: 01 44 05 40 94
Contact
Dauphine PSL logoEQUIS logoCreative Commons logo