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Article Dans Une Revue Risk letters Année : 2005

Pricing CAC 40 Index Options under Asymmetry of Information

Sofiane Aboura
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Résumé

This article analyses, for the first time, the financial impact on the French market of September 11th, 2001. Was there any information asymmetry around this date? How deep was the reaction of the French investors? This study measures the magnitude of the shock in the stock price process.
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Dates et versions

halshs-00161679 , version 1 (11-07-2007)

Identifiants

  • HAL Id : halshs-00161679 , version 1

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Sofiane Aboura. Pricing CAC 40 Index Options under Asymmetry of Information. Risk letters, 2005, 1, pp.55-62. ⟨halshs-00161679⟩
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