Calibration of a stock's beta using options prices

Conference object, Preprint English OPEN
El Aoud , Sofiene; Abergel , Frédéric;
  • Publisher: Springer
  • Subject: [ QFIN.PM ] Quantitative Finance [q-fin]/Portfolio Management [q-fin.PM] | [QFIN.CP]Quantitative Finance [q-fin]/Computational Finance [q-fin.CP] | [QFIN.PM]Quantitative Finance [q-fin]/Portfolio Management [q-fin.PM] | [ QFIN.CP ] Quantitative Finance [q-fin]/Computational Finance [q-fin.CP]

International audience; We present in our work a continuous time Capital Asset Pricing Model where the volatilities of the market index and the stock are both stochastic. Using a singular perturbation technique, we provide approximations for the prices of european optio... View more
Share - Bookmark