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Tests d'arbitrage et surfaces de volatilité : analyse empirique sur données haute fréquence
[Arbitrage tests and surface of implied volatility: An empirical analysis of high frequency data]

  • Ardia, David

This MSc thesis proposes the analysis of high frequency ODAX options during October 2001. It consists of three chapters investigating respectively market activity, arbitrage opportunities and performance of various implied volatility surfaces.

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File URL: http://mpra.ub.uni-muenchen.de/17415/1/MPRA_paper_17415.pdf
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 17415.

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Date of creation: Jun 2002
Date of revision:
Handle: RePEc:pra:mprapa:17415
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  1. Bernard Dumas & Jeff Fleming & Robert E. Whaley, 1998. "Implied Volatility Functions: Empirical Tests," Journal of Finance, American Finance Association, vol. 53(6), pages 2059-2106, December.
  2. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
  3. Jackwerth, Jens Carsten & Rubinstein, Mark, 1996. " Recovering Probability Distributions from Option Prices," Journal of Finance, American Finance Association, vol. 51(5), pages 1611-32, December.
  4. Kamara, Avraham & Miller, Thomas W., 1995. "Daily and Intradaily Tests of European Put-Call Parity," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(04), pages 519-539, December.
  5. 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.
  6. R. L. Brown & S. A. Easton, 1992. "Empirical Evidence on Put-Call Parity in Australia: A Reconciliation and Further Evidence," Australian Journal of Management, Australian School of Business, vol. 17(1), pages 11-19, June.
  7. Evnine, Jeremy & Rudd, Andrew, 1985. " Index Options: The Early Evidence," Journal of Finance, American Finance Association, vol. 40(3), pages 743-56, July.
  8. Bates, David S, 1996. "Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options," Review of Financial Studies, Society for Financial Studies, vol. 9(1), pages 69-107.
  9. Stein, Elias M & Stein, Jeremy C, 1991. "Stock Price Distributions with Stochastic Volatility: An Analytic Approach," Review of Financial Studies, Society for Financial Studies, vol. 4(4), pages 727-52.
  10. Jin-Chuan Duan, 1995. "The Garch Option Pricing Model," Mathematical Finance, Wiley Blackwell, vol. 5(1), pages 13-32.
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