학회소식
[2011년 제 4차] What drives option prices?
작성자 : 관리자
조회수 : 862
게시일 :
2011-12-07
We rely on high frequency data to explore the joint dynamics of underlying and option markets. In particular, high frequency data makes observable the realized volatility process of the underlying, so its effects on option price dynamics are tested. Empirical results are confronted with the predictions of stochastic volatility models. The study reveals that while the modeling of stochastic volatility gives more robust models, the market does not process information on the realized volatility process to update option prices.
