Empirical Option Pricing Models

David S. Bates

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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Year of publication:	December 2021
Authors:	Bates, David S.
Institutions:	National Bureau of Economic Research (issuing body)
Publisher:	2021: Cambridge, Mass : National Bureau of Economic Research
Subject:	Optionspreistheorie \| Option pricing theory \| Stochastische Volatilität \| Stochastic volatility \| Börsenkurs \| Share price \| Zeitreihenanalyse \| Time series analysis

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