What Drives Option Prices?
What Drives Option Prices?
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是什么驱动期权价格？
DOI：
10.3905/jot.2012.7.3.012
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发表时间：
2012
期刊：
影响因子：
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通讯作者：
Riadh Zaatour
中科院分区：
文献类型：
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作者：
F. Abergel;Riadh Zaatour
我们依靠高频数据来探索基础市场和期权市场的联合动态。特别地，高频数据使得标的市场的已实现方差过程是可观测的，从而检验了其对期权价格动态的影响。实证结果面临的随机波动模型的预测。研究表明，虽然随机波动率的建模提供了更强大的模型，市场不处理信息的已实现方差更新期权价格。
We rely on high frequency data to explore the joint dynamics of underlying and option markets. In particular, high frequency data make observable the realized variance process of the underlying markets, so its effects on option price dynamics are tested. Empirical results are confronted with the predictions of stochastic volatility models. The study reveals that while the modeling of stochastic volatility gives more robust models, the market does not process information on the realized variance to update option prices.