Empirical Option Pricing Models
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Empirical Option Pricing Models
| Author | : David S. Bates |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2021 |
| Genre | : |
| ISBN | : |
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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.
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