Empirical Tests of an Option Price Inversion Approach.

This paper presents an empirical test of Dupire's (1993) option price inversion approach using FT-SE 100 index options.

Year of publication:	1999
Authors:	McIntyre, M.
Institutions:	Rotman School of Management, University of Toronto
Subject:	FINANCIAL MARKET \| PRICING

Series:	Rotman School of Management - Finance.
Type of publication:	Book / Working Paper
Notes:	39 pages
Classification:	G10 - General Financial Markets. General ; G13 - Contingent Pricing; Futures Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005631243