Tests d'arbitrage et surfaces de volatilité: analyse empirique sur données haute fréquence

Arbitrage tests and surface of implied volatility: An empirical analysis of high frequency data

David Ardia

MPRA Paper from University Library of Munich, Germany

Abstract: This MSc thesis proposes the analysis of high frequency ODAX options during October 2001. It consists of three chapters investigating respectively market activity, arbitrage opportunities and performance of various implied volatility surfaces.

Keywords: Option; test d'arbitrage; surface; volatilité implicite; haute fréquence (search for similar items in EconPapers)
JEL-codes: G13 G14 (search for similar items in EconPapers)
Date: 2002-06
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:17415

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