
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 publiéDate
2005-01Journal name
Risk lettersNumber
1Publisher
Global Eco Finance
Pages
55-62
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Aboura, SofianeAbstract (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 modelRelated items
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