Pricing CAC 40 Index Options under Asymmetry of Information

Sofiane Aboura ()
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Sofiane Aboura: DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique

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Abstract: 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)
Date: 2005-11
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Published in Risk letters, 2005, 1, pp.55-62

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00161679

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