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Pricing CAC 40 Index Options under Asymmetry of Information

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  • Aboura, Sofiane
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    Abstract

    This article analyses, for the first time, the financial impact on the French market of September 11th, 2001. Was there any information asymmetry around this date? How deep was the reaction of the French investors? This study measures the magnitude of the shock in the stock price process.

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    File URL: http://basepub.dauphine.fr/xmlui/bitstream/123456789/2089/2/SSRN-id934551.pdf
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    Bibliographic Info

    Paper provided by Paris Dauphine University in its series Economics Papers from University Paris Dauphine with number 123456789/2089.

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    Date of creation: Nov 2005
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    Publication status: Published in Risk letters, 2005, no. 1. pp. 55-62.Length: 7 pages
    Handle: RePEc:dau:papers:123456789/2089

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    Web page: http://www.dauphine.fr/en/welcome.html
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    Related research

    Keywords: Information costs; implied volatility; jump diffusion model;

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    1. Tesar, Linda L. & Werner, Ingrid M., 1995. "Home bias and high turnover," Journal of International Money and Finance, Elsevier, vol. 14(4), pages 467-492, August.
    2. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
    3. Bellalah, Mondher & Jacquillat, Bertrand, 1995. "Option Valuation with Information Costs: Theory and Tests," The Financial Review, Eastern Finance Association, vol. 30(3), pages 617-35, August.
    4. Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-43.
    5. Merton, Robert C, 1987. " A Simple Model of Capital Market Equilibrium with Incomplete Information," Journal of Finance, American Finance Association, vol. 42(3), pages 483-510, July.
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