PT  - JOURNAL ARTICLE
AU  - Frédéric Abergel
AU  - Riadh Zaatour
TI  - What Drives Option Prices?
AID  - 10.3905/jot.2012.7.3.012
DP  - 2012 Jun 30
TA  - The Journal of Trading
PG  - 12--28
VI  - 7
IP  - 3
4099  - https://pm-research.com/content/7/3/12.short
4100  - https://pm-research.com/content/7/3/12.full
AB  - We rely on high frequency data to explore the joint dynamics of underlying and option markets. In particular, high frequency data make observable the realized variance process of the underlying markets, so its effects on option price dynamics are tested. Empirical results are confronted with the predictions of stochastic volatility models. The study reveals that while the modeling of stochastic volatility gives more robust models, the market does not process information on the realized variance to update option prices.TOPICS: Options, volatility measures, statistical methods