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The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets

Busch, Thomas; Christensen, Bent Jesper; Nielsen, … - Economics Department, Queen's University - 2008

, predictable, and options appear calibrated to incorporate information about future jumps in all three markets. …

Persistent link: https://www.econbiz.de/10004979472

Equilibrium Valuation of Options on the Market Portfolio with Stochastic Volatility and Return Predictability

Cao, Melanie - Economics Department, Queen's University - 1997

This paper uses an extension of the equilibrium model of Lucas (1978) to study the valuation of options on the market … process for aggregate dividend. Closed-form pricing formulas for options on the market portfolio incorporate both stochastic …-Ingersoll-Ross (1985) model. In this sense, the current model provides a consistent way to price options written on the market portfolio …

Persistent link: https://www.econbiz.de/10005653216

CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS

Milne, Frank; Madan, Dilip - Economics Department, Queen's University - 1994

this case is the Black-Scholes geometric Brownian motion model. Data on S&P 500 options from the Wall Street Journal are …

Persistent link: https://www.econbiz.de/10005688445

The Implied-Realized Volatility Relation with Jumps in Underlying Asset Prices

Christensen, Bent Jesper; Nielsen, Morten Ørregaard - Economics Department, Queen's University - 2005

Recent developments allow a nonparametric separation of the continuous sample path component and the jump component of realized volatility. The jump component has very different time series properties than the continuous component, and accounting for this allows improved forecasting of future...

Persistent link: https://www.econbiz.de/10005688501