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A time series approach to option pricing: Models, Methods and Empirical Performances

Author

Listed:
  • Christophe Chorro

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

  • Dominique Guegan

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

  • Florian Ielpo

    (Lombard Odier Asset Management - Lombard Odier Asset Management)

Abstract

No abstract is available for this item.

Suggested Citation

  • Christophe Chorro & Dominique Guegan & Florian Ielpo, 2015. "A time series approach to option pricing: Models, Methods and Empirical Performances," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01015308, HAL.
    • Handle: RePEc:hal:cesptp:hal-01015308
    as

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    Citations

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    Cited by:

    1. Bertrand K. Hassani, 2014. "Risk Appetite in Practice: Vulgaris Mathematica," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01020293, HAL.
    2. Bertrand K Hassani, 2014. "Risk Appetite in Practice: Vulgaris Mathematica," Documents de travail du Centre d'Economie de la Sorbonne 14037, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    3. Chorro, Christophe & Guégan, Dominique & Ielpo, Florian & Lalaharison, Hanjarivo, 2018. "Testing for leverage effects in the returns of US equities," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 290-306.

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