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LA VOLATILITE STOCHASTIQUE DES MARCHES FINANCIERS : UNE APPLICATION AUX MODELES D'EVALUATION D'INSTRUMENTS OPTIONNELS EN TEMPS CONTINU

Alex Sy
Abstract : This phd thesis proposes an option valuation model allowing for jumps, stochastic volatility and stochastic interest rate, whose closed-form solution generalizes the formulas of Black & Scholes (1973), Heston (1993), Bates (1996) and Bakshi, Cao & Chen (1997). After having explored the relevancy of the GARCH deterministic autoregressive schemes in modeling the volatility term structure of the CBOE S&P 500 index, the stochastic volatility arises as the probabilistic core of the incomplete markets paradigm. But, making volatility stochastic is not enough to explain the excess kurtosis of the short-term options. The "leptokurtic issue" is solved by adopting a class of distributions generated by jump-diffusion processes. The effect of a stochastic jump rate in the return process, is examined on the COBE. Moreover, the author develops an academic extension of the model, allowing for stochastic dividends.
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https://tel.archives-ouvertes.fr/tel-00006151
Contributor : Alex Sy <>
Submitted on : Thursday, May 27, 2004 - 11:35:13 AM
Last modification on : Thursday, May 27, 2004 - 11:35:13 AM
Long-term archiving on: : Friday, April 2, 2010 - 8:52:40 PM

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Alex Sy. LA VOLATILITE STOCHASTIQUE DES MARCHES FINANCIERS : UNE APPLICATION AUX MODELES D'EVALUATION D'INSTRUMENTS OPTIONNELS EN TEMPS CONTINU. Gestion et management. Université de droit, d'économie et des sciences - Aix-Marseille III, 2003. Français. ⟨tel-00006151⟩

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