Christophe Chorro

Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)

106-112 Boulevard de l'hopital

Paris Cedex 13, 75647

France

SCHOLARLY PAPERS

3

DOWNLOADS

303

CITATIONS

2

Scholarly Papers (3)

Option Pricing for Garch-Type Models with Generalized Hyperbolic Innovations

Paris December 2010 Finance Meeting EUROFIDAI - AFFI
Number of pages: 30 Posted: 24 Oct 2010
Florian Ielpo, Dominique Guegan and Christophe Chorro
Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Universite Paris 1 Pantheon-Sorbonne and Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Downloads 108 (212,064)
Citation 2

Abstract:

Generalized hyperbolic distribution, Option pricing, Incomplete markets, CAC 40, SP 500, GARCH-type models

Option Pricing for GARCH-Type Models with Generalized Hyperbolic Innovations

Centre d’Economie de la Sorbonne Working Paper No. 2010.23,
Number of pages: 31 Posted: 18 Jul 2010
Dominique Guegan, Christophe Chorro and Florian Ielpo
Universite Paris 1 Pantheon-Sorbonne, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES) and Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Downloads 81 (257,413)
Citation 2

Abstract:

Generalized Hyperbolic Distribution, Option Pricing, Incomplete Markets, CAC 40, SP 500, GARCH-Type Models

2.

Testing for Leverage Effects in the Returns of US Equities

CES Working Papers No. 2014.22
Number of pages: 16 Posted: 07 Apr 2015 Last Revised: 12 Jan 2017
Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Universite Paris 1 Pantheon-Sorbonne, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES) and Université Paris I Panthéon-Sorbonne - CERMSEM
Downloads 26 (322,709)

Abstract:

Asymmetry, GARCH, Mixture of Gaussian distributions, Generalized hyperbolic distributions, S&P 500, Leverage effect

3.

The Contribution of Jumps to Forecasting the Density of Returns

Number of pages: 38 Posted: 12 Jan 2017
Christophe Chorro, Florian Ielpo and Benoît Sévi
Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES) and University of Nantes
Downloads 0 (296,253)

Abstract:

Density Forecasting, Jumps, Realized Volatility, Bipower Variation, Median Realized Volatility, Leverage Effect