Empirical Option Pricing Models
This paper is an overview of empirical options research, with primary emphasis on research into systematic stochastic volatility and jump risks relevant for pricing stock index options. The paper reviews evidence from time series analysis, option prices and option price evolution regarding those risks, and discusses required compensation.
Published Versions
David S. Bates, 2022. "Empirical Option Pricing Models," Annual Review of Financial Economics, vol 14(1).