Tests d'arbitrage et surfaces de volatilité : analyse empirique sur données haute fréquence

This MSc thesis proposes the analysis of high frequency ODAX options during October 2001. It consists of three chapters investigating respectively market activity, arbitrage opportunities and performance of various implied volatility surfaces.

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Alternative title:	Arbitrage tests and surface of implied volatility: An empirical analysis of high frequency data
Year of publication:	2002-06
Authors:	Ardia, David
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Option \| test d'arbitrage \| surface \| volatilité implicite \| haute fréquence

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	G14 - Information and Market Efficiency; Event Studies ; G13 - Contingent Pricing; Futures Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008528725