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Annual Review of Financial Economics

Volume 14, 2022

Empirical Option Pricing Models

Abstract

This article provides an overview of empirical options research, with primary emphasis on research into systematic stochastic volatility and jump risks relevant for pricing stock index options. It reviews evidence from time series analysis, option prices, and option price evolution regarding those risks and discusses required compensation.

Keyword(s): crash risk, GARCH, JEL C22, JEL G13, options, stochastic volatility
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2022-11-01
2024-05-13
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/content/journals/10.1146/annurev-financial-111720-091255
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Empirical Option Pricing Models
Annual Review of Financial Economics 14, 369 (2022); https://doi.org/10.1146/annurev-financial-111720-091255
/content/journals/10.1146/annurev-financial-111720-091255
/content/journals/10.1146/annurev-financial-111720-091255
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