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hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorAboura, Sofiane*
hal.structure.identifier
dc.contributor.authorValeyre, Sébastien*
hal.structure.identifierPassau University
dc.contributor.authorWagner, Niklas*
dc.date.accessioned2014-04-14T15:22:33Z
dc.date.available2014-04-14T15:22:33Z
dc.date.issued2013-03
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/13100
dc.description.abstractfrIn the aftermath of the 2008 financial crisis, the need to consider more realistic risk models for derivative products has received renewed attention. We introduce a dynamic model for the pricing of European-style options with various attractive features such as a mixture of heavy-tails and Gaussian distribution along with a leverage effect property. We test the model on FTSE 100 stock index options during the period of January 2008 to June 2009. Our empirical results show that the model adequately fits the volatility smile dynamics particularly during stress periods. Furthermore, we find that the leverage effect form is driven by the sticky-strike rule.en
dc.language.isoenen
dc.subjectEuropean-style option pricingen
dc.subjectvolatility smileen
dc.subjectrisk modelen
dc.subject.ddc332en
dc.subject.classificationjelC.C1.C13en
dc.subject.classificationjelC.C1.C16en
dc.subject.classificationjelG.G1.G13en
dc.titleOption Pricing with a Dynamic Fat-Tailed Modelen
dc.typeCommunication / Conférence
dc.contributor.editoruniversityotherUniversität Passau;Allemagne
dc.identifier.citationpages38 p.en
dc.identifier.urlsitehttp://dx.doi.org/10.2139/ssrn.2031400en
dc.subject.ddclabelEconomie financièreen
dc.relation.conftitle62nd Annual Meeting of the Midwest Finance Association - MFA 2013 Annual Meetingen
dc.relation.confdate2013-03
dc.relation.confcityChicagoen
dc.relation.confcountryUnited Statesen
dc.relation.forthcomingnonen
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewednon
hal.identifierhal-01526341*
hal.version1*
hal.update.actionupdateMetadata*
hal.author.functionaut
hal.author.functionaut
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