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Option Valuation with Conditional Heteroskedasticity and Non-Normality

Christoffersen, Peter; Elkamhi, Redouane; Feunou, Bruno; … - Centre Interuniversitaire de Recherche en Analyse des … - 2009

We provide results for the valuation of European style contingent claims for a large class of specifications of the underlying asset returns. Our valuation results obtain in a discrete time, infinite state-space setup using the no-arbitrage principle and an equivalent martingale measure. Our...

Persistent link: https://www.econbiz.de/10004976982

Which Volatility Model for Option Valuation?

Christoffersen, Peter; Jacobs, Kris - Centre Interuniversitaire de Recherche en Analyse des … - 2002

Characterizing asset return dynamics using volatility models is an important part of empirical finance. The existing literature favors some rather complex volatility specifications whose relative performance is usually assessed through their likelihood based on a time-series of asset returns....

Persistent link: https://www.econbiz.de/10005100917

Option Valuation with Long-run and Short-run Volatility Components

Christoffersen, Peter; Jacobs, Kris; Wang, Yintian - Centre Interuniversitaire de Recherche en Analyse des … - 2004

This paper presents a new model for the valuation of European options. In our model, the volatility of returns consists of two components. One of these components is a long-run component, and it can be modeled as fully persistent. The other component is short-run and has a zero mean. Our model...

Persistent link: https://www.econbiz.de/10005101069

Option Valuation with Conditional Skewness

Christoffersen, Peter; Heston, Steve; Jacobs, Kris - Centre Interuniversitaire de Recherche en Analyse des … - 2003

options shows that the new Inverse Gaussian GARCH model's performance is superior to a standard existing nested model for out …-of-the money puts, thus demonstrating the importance of conditional skewness. The discrete-time Inverse Gaussian GARCH process has … sur l'indice S&P500 montre que la performance du nouveau modèle GARCH gaussien inverse est supérieure à celle des modèles …

Persistent link: https://www.econbiz.de/10005101071

Estimation Risk in Financial Risk Management

Christoffersen, Peter; Gonçalves, Sílvia - Centre Interuniversitaire de Recherche en Analyse des … - 2004

Value-at-Risk (VaR) and Expected Shortfall (ES) are increasingly used in portfolio risk measurement, risk capital allocation and performance attribution. Financial risk managers are therefore rightfully concerned with the precision of typical VaR and ES techniques. The purpose of this paper is...

Persistent link: https://www.econbiz.de/10005101108