What drives option prices ? - Archive ouverte HAL
Article Dans Une Revue Journal of Trading Année : 2012

What drives option prices ?

Résumé

We rely on high frequency data to explore the joint dynamics of underlying and option markets. In particular, high frequency data make observable the realized variance process of the underlying, so its effects on option price dynamics are tested. Empirical results are confronted with the predictions of stochastic volatility models. The study reveals that while the modeling of stochastic volatility gives more robust models, the market does not process information on the realized variance to update option prices.
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Dates et versions

hal-00687675 , version 1 (13-04-2012)

Identifiants

Citer

Frédéric Abergel, Riadh Zaatour. What drives option prices ?. Journal of Trading, 2012, 7 (3), pp.12-28. ⟨10.3905/jot.2012.7.3.012⟩. ⟨hal-00687675⟩
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