Empirical Option Pricing Models-Reference-Cited by-同舟云学术

Empirical Option Pricing Models

Published:2022-11-01 Issue:1 Volume:14 Page:369-389
ISSN:1941-1367
Container-title:Annual Review of Financial Economics
language:en
Short-container-title:Annu. Rev. Financ. Econ.

Author:

Bates David S.¹²

Affiliation:

1. Henry B. Tippie College of Business, University of Iowa, Iowa City, Iowa, USA;

2. National Bureau of Economic Research, Cambridge, Massachusetts, USA

Abstract

This article provides an overview of empirical options research, with primary emphasis on research into systematic stochastic volatility and jump risks relevant for pricing stock index options. It reviews evidence from time series analysis, option prices, and option price evolution regarding those risks and discusses required compensation.

Publisher

Annual Reviews

Subject

Economics and Econometrics,Finance

Link

https://www.annualreviews.org/doi/pdf/10.1146/annurev-financial-111720-091255

Reference111 articles.

1. Modeling financial contagion using mutually exciting jump processes

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