Calibration of a stock's beta using options prices
Conference object, Preprint
El Aoud , Sofiene
Abergel , Frédéric
- Publisher: Springer
[ 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...