Bengio, Yoshua; Dugas, Charles - Centre Interuniversitaire de Recherche en Analyse des … - 2002
on the average difference between the price option and its present average value at maturity (the bias), and tries to … detect some temporal regularities in the pattern of this bias. We found some very surprising almost-periodic patterns for the … bias, in particular for the long-time maturities (not so clearly for the puts), as studied by spectral analysis. Le prix d …