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Étude du biais dans le prix des options

Author

Listed:
  • Yoshua Bengio
  • Charles Dugas

Abstract

The price of an option should reflect the average value that a buyer receives for it, and also a risk premium. This report describes an empirical study for analysing these factors as a graphical and quantitative manner. The analysis focuses on the average difference between the price option and its present average value at maturity (the bias), and tries to detect some temporal regularities in the pattern of this bias. We found some very surprising almost-periodic patterns for the bias, in particular for the long-time maturities (not so clearly for the puts), as studied by spectral analysis. Le prix d'une option devrait refléter la valeur moyenne que l'acheteur en reçoit ainsi qu'une prime de risque. Ce rapport décrit une étude empirique pour analyser ces facteurs de manière graphique et quantitative. L'analyse se concentre sur la différence moyenne entre le prix de l'option et sa valeur actualisée moyenne à maturité (le "biais""), et tente de cerner des régularités temporelles dans les patrons de cette différence. On y découvre de surprenants patrons quasi-périodiques de ces variations, en particulier pour les calls de maturité élevée (moins clairement pour les puts), qui sont étudiés avec une analyse spectrale."

Suggested Citation

  • Yoshua Bengio & Charles Dugas, 2002. "Étude du biais dans le prix des options," CIRANO Working Papers 2002s-45, CIRANO.
    • Handle: RePEc:cir:cirwor:2002s-45
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    File URL: https://cirano.qc.ca/files/publications/2002s-45.pdf
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