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Why Is the Bid Price Greater than the Ask? Price Discovery during the Nasdaq Pre-Opening

Cao, Charles; Ghysels, Eric; Hatheway, Frank - Centre Interuniversitaire de Recherche en Analyse des … - 1998

One fundamental issue in the study of market microstructures is that of price discovery. While most existing studies focus on the trading period, little is known whether and how much the non-trading period contributes to the price discovery. This paper offers a new perspective on the price...

Persistent link: https://www.econbiz.de/10005100613

The Valuation of Volatility Options

Detemple, Jérôme B.; Osakwe, Carlton - Centre Interuniversitaire de Recherche en Analyse des … - 1999

This paper examines the valuation of European- and American-style volatility options based on a general equilibrium stochastic volatility framework. Properties of the optimal exercise region and of the option price are provided when volatility follows a general diffusion process. Explicit...

Persistent link: https://www.econbiz.de/10005100856

Analytic Evaluation of Volatility Forecasts

Andersen, Torben G.; Bollerslev, Tim; Meddahi, Nour - Centre Interuniversitaire de Recherche en Analyse des … - 2002

The development of estimation and forecasting procedures using empirically realistic continuous-time stochastic … sample path realization of the latent instantaneous volatility process. Le développement de procédures d'estimation et de …

Persistent link: https://www.econbiz.de/10005100878

The Importance of the Loss Function in Option Valuation

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

. First, for any given model, the loss function used in parameter estimation and model evaluation should be the same …, otherwise suboptimal parameter estimates may be obtained. Second, when comparing models, the estimation loss function should be … utilisée pour l'estimation et l'évaluation des modèles de valorisation des options? Plusieurs fonctions ont été suggérées, mais …

Persistent link: https://www.econbiz.de/10005100937

Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility

Dufour, Jean-Marie; Garcia, René; Taamouti, Abderrahim - Centre Interuniversitaire de Recherche en Analyse des … - 2011

In this paper, we provide evidence on two alternative mechanisms of interaction between returns and volatilities: the leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and implied volatility, and find that implied...

Persistent link: https://www.econbiz.de/10008855592

Exchange rates and commodity prices: measuring causality at multiple horizons

Zhang, Hui Jun; Dufour, Jean-Marie; Galbraith, John - Centre Interuniversitaire de Recherche en Analyse des … - 2013

Understanding and measuring the relative roles of different causal channels between commodity prices and exchange rates has important implications in financial decision making, especially for market participants with short horizons. From a macroeconomic perspective, this can also be useful for...

Persistent link: https://www.econbiz.de/10011183664

Multivariate Option Pricing With Time Varying Volatility and Correlations

Rombouts, Jeroen; Stentoft, Lars Peter - Centre Interuniversitaire de Recherche en Analyse des … - 2010

In recent years multivariate models for asset returns have received much attention, in particular this is the case for models with time varying volatility. In this paper we consider models of this class and examine their potential when it comes to option pricing. Specifically, we derive the risk...

Persistent link: https://www.econbiz.de/10008506122

What Data Should Be Used to Price Options?

Chernov, Mikhail; Ghysels, Eric - Centre Interuniversitaire de Recherche en Analyse des … - 1998

estimation of the model in terms of pricing and hedging performance. Our results, based on the S&P 500 index contract, show that … is not supported by the data. Nous présentons une procédure générique pour l'estimation et l'évaluation de modèles d …

Persistent link: https://www.econbiz.de/10005100549

Nonparametric Estimation of American Options Exercise Boundaries and Call Prices

Broadie, Mark; Detemple, Jérôme B.; Ghysels, Eric; … - Centre Interuniversitaire de Recherche en Analyse des … - 1996

Unlike European-type derivative securities, there are no simple analytic valuation formulas for American options, even when the underlying asset price has constant volatility. The early exercise feature considerably complicates the valuation of American contracts. The strategy taken in this...

Persistent link: https://www.econbiz.de/10005100553

A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation

Chernov, Mikhail; Gallant, A. Ronald; Ghysels, Eric; … - Centre Interuniversitaire de Recherche en Analyse des … - 1999

The purpose of this paper is to propose a new class of jump diffusions which feature both stochastic volatility and random intensity jumps. Previous studies have focussed primarily on pure jump processes with constant intensity and log-normal jumps or constant jump intensity combined with a one...

Persistent link: https://www.econbiz.de/10005100581