Pricing Cac 40 Index Options Under Asymmetry of Information
5 Pages Posted: 3 Oct 2006 Last revised: 21 Jun 2015
Date Written: 2005
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: Suggested Citation