Tests d'arbitrage et surfaces de volatilité : analyse empirique sur données haute fréquence

Ardia, David (2002): Tests d'arbitrage et surfaces de volatilité : analyse empirique sur données haute fréquence. Unpublished.

Abstract

This MSc thesis proposes the analysis of high frequency ODAX options during October 2001. It consists of three chapters investigating respectively market activity, arbitrage opportunities and performance of various implied volatility surfaces.

• Item Type: MPRA Paper
• English Title: Arbitrage tests and surface of implied volatility: An empirical analysis of high frequency data
• Language: French
• Keywords: Option; test d'arbitrage; surface; volatilité implicite; haute fréquence
• Subjects: G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency; Event Studies; G - Financial Economics > G1 - General Financial Markets > G13 - Contingent Pricing; Futures Pricing

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