Pricing CAC 40 Index Options under Asymmetry of Information.

This article analyses, for the first time, the financial impact on the French market of September 11th, 2001. Was there any information asymmetry around this date? How deep was the reaction of the French investors? This study measures the magnitude of the shock in the stock price process.

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Year of publication:	2005-11
Authors:	Aboura, Sofiane
Institutions:	Université Paris-Dauphine
Subject:	Information costs \| implied volatility \| jump diffusion model

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Extent:	application/pdf
Series:	Open Access publications from Université Paris-Dauphine.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Published in Risk letters (2005-11) v., p.55-62
Classification:	D82 - Asymmetric and Private Information ; G13 - Contingent Pricing; Futures Pricing ; C13 - Estimation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008572194