Empirical Tests of an Option Price Inversion Approach

M. McIntyre

Rotman School of Management - Finance from Rotman School of Management, University of Toronto

Abstract: This paper presents an empirical test of Dupire's (1993) option price inversion approach using FT-SE 100 index options.

Keywords: FINANCIAL MARKET; PRICING (search for similar items in EconPapers)
JEL-codes: G10 G13 (search for similar items in EconPapers)
Pages: 39 pages
Date: 1999
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Persistent link: https://EconPapers.repec.org/RePEc:fth:rotfin:99-001

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