European style options for various maturities. We analyze the validity of the model given its ability to price one-day ahead … out-of-sample call options and also its ability to capture the empirical dynamic of the volatility skew. First, we get a … severe mispricing for deep out-of-the-money and short term call options. Second, this model reveals a good ability to capture …

This paper examines the determinants of the time it takes for an index options marketto be brought back to efficiency … after put-call parity deviations, using intraday transactionsdata from the French CAC 40 index options over the August 2000 … volume as well as trade imbalances in call andput options, and volatility are important in understanding why some arbitrage …