Empirical Option Pricing Models

被引：8
|
作者：
Bates, David S. [1 ,2 ]
机构：
[1] Univ Iowa, Henry B Tippie Coll Business, Iowa City, IA 52242 USA
[2] Natl Bur Econ Res, Cambridge, MA 02138 USA
来源：
ANNUAL REVIEW OF FINANCIAL ECONOMICS | 2022年 / 14卷
关键词：
options; stochastic volatility; crash risk; GARCH; STOCHASTIC VOLATILITY; IMPLIED VOLATILITY; RISK-AVERSION; CONTINGENT CLAIMS; RARE DISASTERS; ASSET RETURNS; P; 500; MARKET; VALUATION; DYNAMICS;
D O I：
10.1146/annurev-financial-111720-091255
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This article provides an overview of empirical options research, with primary emphasis on research into systematic stochastic volatility and jump risks relevant for pricing stock index options. It reviews evidence from time series analysis, option prices, and option price evolution regarding those risks and discusses required compensation.
引用
收藏
页码：369 / 389
页数：21
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