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- W2023229903 abstract "Using high frequency data from ParisBourse SA, this article examines pricing and hedging performances of the Jarrow and Rudd (Journal of Financial Economics 10 (1982) pp. 347–369) model. We first find that this model improves the pricing of CAC 40 index European call options whether in-sample or out-of-sample, and whatever economic or statistic criterion may be used. Moreover, simple models for implied moments lead—in a dynamic setting—to results very close to those from in-sample optimization. But, we also find that this model does not improve hedging strategy and that the Black and Scholes (Journal of Political Economy (1973) pp. 637–655) model is still difficult to beat." @default.
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- W2023229903 date "2001-12-01" @default.
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- W2023229903 title "The approximate option pricing model: performances and dynamic properties" @default.
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- W2023229903 doi "https://doi.org/10.1016/s1042-444x(01)00031-7" @default.
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