Dynamique jointe stock/option et application aux stratégies de trading sur options

Doctoral thesis English OPEN
El Aoud, Sofiene;
(2015)
  • Publisher: HAL CCSD
  • Subject: Market making | Option trading | [SPI.OTHER]Engineering Sciences [physics]/Other | Volatilité stochastique | Trading d'options | Stochastic volatility

This thesis explores theoretically and empirically the implications of the stock/option joint dynamics on applications related to option trading. In the first part of the thesis, we look into the relations between stock options and index options under the risk-neutral m... View more
  • References (3)

    155 Regression slope 0.704 0.932 1.02 0.694

    Keiichi Omura, Yasuhiko Tanigawa, and Jun Uno. Execution probability of limit orders on the tokyo stock exchange. Available at SSRN 252588, 2000.

    George Papanicolaou, Jean-Pierre Fouque, Knut Solna, and Ronnie Sircar. Singular perturbations in option pricing. SIAM Journal on Applied Mathematics, 63(5):1648-1665, 2003.

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