Pricing Cac 40 Index Options Under Asymmetry of Information

5 Pages Posted: 3 Oct 2006 Last revised: 21 Jun 2015

See all articles by Sofiane Aboura

Sofiane Aboura

Université Paris XIII Nord - Department of Economics and Management

Date Written: 2005

Abstract

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.

Keywords: Information costs, implied volatility, jump diffusion model

JEL Classification: C13, G13

Suggested Citation

Aboura, Sofiane, Pricing Cac 40 Index Options Under Asymmetry of Information (2005). Available at SSRN: https://ssrn.com/abstract=934551 or http://dx.doi.org/10.2139/ssrn.934551

Sofiane Aboura (Contact Author)

Université Paris XIII Nord - Department of Economics and Management ( email )

99 avenue Jean-Baptiste
Clément, Villetaneuse 93430
France

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