Empirical Option Pricing Models

David S. Bates ()
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David S. Bates: Henry B. Tippie College of Business, University of Iowa, Iowa City, Iowa, USA

Annual Review of Financial Economics, 2022, vol. 14, issue 1, 369-389

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

Keywords: crash risk; GARCH; options; stochastic volatility (search for similar items in EconPapers)
JEL-codes: C22 G13 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (4)

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DOI: 10.1146/annurev-financial-111720-091255

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