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
TypeArticle accepté pour publication ou publié
Journal nameRisk letters
Global Eco Finance
MetadataShow full item record
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 / KeywordsInformation costs; implied volatility; jump diffusion model
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