RT Journal Article SR Electronic T1 What Drives Option Prices? JF The Journal of Trading FD Institutional Investor Journals SP 12 OP 28 DO 10.3905/jot.2012.7.3.012 VO 7 IS 3 A1 Frédéric Abergel A1 Riadh Zaatour YR 2012 UL https://pm-research.com/content/7/3/12.abstract 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