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Pricing CAC 40 Index Options under Asymmetry of Information

Aboura, Sofiane (2005), Pricing CAC 40 Index Options under Asymmetry of Information, Risk letters, 1, p. 55-62

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Type
Article accepté pour publication ou publié
Date
2005-01
Journal name
Risk letters
Number
1
Publisher
Global Eco Finance
Pages
55-62
Metadata
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Author(s)
Aboura, Sofiane
Abstract (EN)
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.
Subjects / Keywords
Information costs; implied volatility; jump diffusion model
JEL
D82 - Asymmetric and Private Information; Mechanism Design
G13 - Contingent Pricing; Futures Pricing
C13 - Estimation: General