out on the French option market. We examine methods that account for non-normal skewness and kurtosis, relax the … normal skewness and kurtosis in terms of precision in the option valuation. …

The purpose of this study is to use real options theory to answer the following question: Is it necessary, in France …

has received renewed attention. We introduce a dynamic model for the pricing of European-style options with various … model on FTSE 100 stock index options during the period of January 2008 to June 2009. Our empirical results show that the …

European style options for various maturities. We analyze the validity of the model given its ability to price one-day ahead … out-of-sample call options and also its ability to capture the empirical dynamic of the volatility skew. First, we get a … severe mispricing for deep out-of-the-money and short term call options. Second, this model reveals a good ability to capture …

Cet ouvrage présente et simule les principaux modèles de volatilité et d'évaluation d'options standards avec une … locale et implicite. Le second chapitre se consacre aux principales évolutions dans l'évaluation des modèles d'options …