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Pricing CAC 40 Index Options under Asymmetry of Information
Sofiane Aboura Open Access publications from Université Paris-Dauphine from Université Paris-Dauphine
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 (search for similar items in EconPapers)
JEL-codes: D82 G13 C13 (search for similar items in EconPapers)
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Published in Risk letters (2005-11) v., p.55-62
Downloads: (external link) http://basepub.dauphine.fr/xmlui/bitstream/123456789/2089/2/SSRN-id934551.pdf (application/pdf)
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Persistent link: http://EconPapers.repec.org/RePEc:ner:dauphi:urn:hdl:123456789/2089
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