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Empirical Tests of an Option Price Inversion Approach

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Author Info
McIntyre, M.
Abstract

This paper presents an empirical test of Dupire's (1993) option price inversion approach using FT-SE 100 index options.

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Publisher Info
Paper provided by Rotman School of Management, University of Toronto in its series Rotman School of Management - Finance with number 99-001.

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Length: 39 pages
Date of creation: 1999
Date of revision:
Handle: RePEc:fth:rotfin:99-001

Contact details of provider:
Postal: Rotman School of Management. 105 St. George Street. Toronto, Ontario. Canada M5S 3E6
Phone: 416.978.3499
Web page: http://www.mgmt.utoronto.ca/
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Related research
Keywords: 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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This page was last updated on 2009-10-24.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.