Variance Swap Premium under Stochastic Volatility and Self-Exciting Jumps
We introduce a stochastic volatility model with self-exciting jump intensity to capture the change in pricing dynamic triggered by big negative stock returns. The stochastic variance and jump intensity, and their risk premium are estimated jointly from daily stock returns and option data over 2007-2010. The model is calibrated to cumulants implied from option prices instead of option prices directly. We find evidence that the time varying jump intensity plays a very important role in the sub-prime crisis and explained most of the risk premium, while in other calmer periods, stochastic variance accounts for most of the risk premium
Year of publication: |
2013
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Authors: | Chen, Ke |
Other Persons: | Poon, Ser-Huang (contributor) |
Publisher: |
[2013]: [S.l.] : SSRN |
Subject: | Volatilität | Volatility | Swap | Stochastischer Prozess | Stochastic process | Risikoprämie | Risk premium | Optionspreistheorie | Option pricing theory |
Saved in:
freely available
Extent: | 1 Online-Ressource (50 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 13, 2013 erstellt |
Other identifiers: | 10.2139/ssrn.2200172 [DOI] |
Classification: | G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013088630
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