Empirical Tests of an Option Price Inversion Approach
AbstractThis paper presents an empirical test of Dupire's (1993) option price inversion approach using FT-SE 100 index options.
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Bibliographic InfoPaper provided by Rotman School of Management, University of Toronto in its series Rotman School of Management - Finance with number 99-001.
Length: 39 pages
Date of creation: 1999
Date of revision:
Contact details of provider:
Postal: Rotman School of Management. 105 St. George Street. Toronto, Ontario. Canada M5S 3E6
Web page: http://www.rotman.utoronto.ca/
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FINANCIAL MARKET ; PRICING;
Find related papers by JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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