In this paper, we present a new stylized fact for options whose underlying asset is a stock index. Extracting implied volatility time series from call and put options on the Deutscher Aktien index (DAX) and financial times stock exchange index (FTSE), we show that the persistence of these...

To detect chaos on observational data, we first need to know the embedding dimension. We propose a consistent approach to estimate this dimension using the theoretical work of Bosq and Guegan (1994) and we apply the results to real financial data.

This paper develops the method for pricing bivariate contingent claims under general autoregressive conditionally heteroskedastic (GARCH) process. In order to provide a general framework being able to accommodate skewness, leptokurtosis, fat tails as well as the time-varying volatility that are...