Search Results - subject:"volatilité implicite"

Solution exacte du problème inverse de valorisation des options dans le cadre du modèle de Black et Scholes

Sukhomlin, Nikolay; Jacquinot, Philippe - HAL - 2007

Le résultat principal de cette étude réside dans l'expression de la volatilité d'une option en fonction des autres paramètres intervenant dans le modèle classique de Black et Scholes. Cette expression, exacte, est déduite de manière analytique puis vérifiée de manière numérique.

Persistent link: https://www.econbiz.de/10008794109

The Importance of the Loss Function in Option Valuation

Christoffersen, Peter; Jacobs, Kris - Centre Interuniversitaire de Recherche en Analyse des … - 2003

Which loss function should be used when estimating and evaluating option valuation models? Many different functions have been suggested, but no standard has emerged. We emphasize that consistency in the choice of loss functions is crucial. First, for any given model, the loss function used in...

Persistent link: https://www.econbiz.de/10005100937

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

Ardia, David - Volkswirtschaftliche Fakultät, … - 2002

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.

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

Pouvoir predictif de la volatilite implicite dans le prix des options de change

Rzepkowski, Bronka - Centre d'études prospectives et d'informations … - 2001

options. Contrairement aux marches organises, les options sur ce marche sont cotees en volatilite implicite. Celle-ci reflete … evaluation du risque percu par les operateurs, dont l'avantage est d'etre directement observable. Cette volatilite implicite est … tres grande majorite des etudes empiriques visant a mesurer le pouvoir predictif de la volatilite implicite utilise des …

Persistent link: https://www.econbiz.de/10005406533

Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : New version February 2002) / Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : Nouvelle version Février 2002)

Garcia, René; Luger, Richard; Renault, Éric - Centre Interuniversitaire de Recherche en Analyse des … - 2001

prévision des prix à travers une volatilité implicite conformément à ce que suggère la formule de Hull et White. Dans un second …

Persistent link: https://www.econbiz.de/10005100563

Asymmetric Smiles, Leverage Effects and Structural Parameters

Garcia, René; Luger, Richard; Renault, Éric - Centre Interuniversitaire de Recherche en Analyse des … - 2001

In this paper, we characterize the asymmetries of the smile through multiple leverage effects in a stochastic dynamic asset pricing framework. The dependence between price movements and future volatility is introduced through a set of latent state variables. These latent variables can capture...

Persistent link: https://www.econbiz.de/10005100971

The Importance of the Loss Function in Option Pricing

Christoffersen, Peter; Jacobs, Kris - Centre Interuniversitaire de Recherche en Analyse des … - 2001

Which loss function should be used when estimating and evaluating option pricing models? Many different fucntions have been suggested, but no standard has emerged. We do not promote a partidular function, but instead emphasize that consistency in the choice of loss functions is crucial. First,...

Persistent link: https://www.econbiz.de/10005100978

Risk Aversion, Intertemporal Substitution, and Option Pricing

Garcia, René; Renault, Éric - Centre Interuniversitaire de Recherche en Analyse des … - 1998

This paper develops a general stochastic framework and an equilibrium asset pricing model that make clear how attitudes towards intertemporal substitution and risk matter for option pricing. In particular, we show under which statistical conditions option pricing formulas are not...

Persistent link: https://www.econbiz.de/10005100513

A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models

Garcia, René; Renault, Éric - Centre Interuniversitaire de Recherche en Analyse des … - 1997

Recently, Duan (1995) proposed a GARCH option pricing formula and a corresponding hedging formula. In a similar ARCH-type model for the underlying asset, Kallsen and Taqqu (1994) arrive at a hedging formula different from Duan's , although they concur on the pricing formula. In this note, we...

Persistent link: https://www.econbiz.de/10005101110