1 option
Empirical Option Pricing Models / David S. Bates.
- Format:
- Book
- Author/Creator:
- Bates, David S.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w29554.
- NBER working paper series no. w29554
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2021.
- Summary:
- 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.
- Notes:
- Print version record
- December 2021.
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