Pricing CAC 40 Index Options under Asymmetry of Information
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.
|Date of creation:||Nov 2005|
|Date of revision:|
|Publication status:||Published in Risk letters, 2005, no. 1. pp. 55-62.Length: 7 pages|
|Contact details of provider:|| Web page: http://www.dauphine.fr/en/welcome.html|
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