Empirical Option Pricing Models

David S. Bates

No 29554, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: This paper is an overview of empirical options research, with primary emphasis on research into systematic stochastic volatility and jump risks relevant for pricing stock index options. The paper reviews evidence from time series analysis, option prices and option price evolution regarding those risks, and discusses required compensation.

JEL-codes: G13 (search for similar items in EconPapers)
Date: 2021-12
New Economics Papers: this item is included in nep-cwa and nep-ore
Note: AP
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Published as David S. Bates, 2022. "Empirical Option Pricing Models," Annual Review of Financial Economics, vol 14(1).

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