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]
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References listed on IDEAS
- 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 727-752.
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More about this item
KeywordsOption; test d'arbitrage; surface; volatilité implicite; haute fréquence;
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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