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Econometric analysis of financial derivatives : an overview

Chang, Chia-Lin; McAleer, Michael - 2014

, including market-based estimation of stochastic volatility models, the fine structure of equity-index option dynamics, leverage … and feedback effects in multifactor Wishart stochastic volatility for option pricing, option pricing with non …-Gaussian scaling and infinite-state switching volatility, stock return and cash flow predictability: the role of volatility risk, the …

Persistent link: https://www.econbiz.de/10010465152

Abnormal returns, risk, and options in large data sets

Caserta, Silvia; Daníelsson, Jón; Vries, Casper G. de - 1998

Large data sets in finance with millions of observations have becomewidely available. Such data sets enable the construction of reliablesemi-parametric estimates of the risk associated with extreme pricemovements. Our approach is based on semi-parametric statisticalextreme value analysis, and...

Persistent link: https://www.econbiz.de/10011299966

Implied volatility sentiment : a tale of two tails

Stork, Philip; Félix, Luiz; Kräussl, Roman - 2017

. We find that our implied volatility (IV) sentiment measure, jointly derived from index and single stock options, explains …

Persistent link: https://www.econbiz.de/10011583312

Single stock call options as lottery tickets

Félix, Luiz; Kräussl, Roman; Stork, Philip - 2016

This paper investigates whether the overpricing of out-of-the money single stock calls can be explained by Tversky and Kahneman's (1992) cumulative prospect theory (CPT). We argue that these options are overpriced because investors' overweight small probability events and overpay for such...

Persistent link: https://www.econbiz.de/10011446895

Jump contagion among stock market indices : evidence from option markets

Boswijk, Herman Peter; Laeven, Roger J. A.; Lalu, Andrei; … - 2021

This paper explores the contagious propagation of jumps among international stock market indices by exploiting a rich panel of stock and options data. We propose a multivariate option pricing model designed to allow for, but not superimpose, time and space amplification of jumps in option...

Persistent link: https://www.econbiz.de/10012650140

A real option perspective on valuing gas fields

Zhao, Lin; Wijnbergen, Sweder van - 2013

Persistent link: https://www.econbiz.de/10010191285

Leverage and feedback effects on multifactor wishart stochastic volatility for option pricing

Asai, Manabu; McAleer, Michael - 2013

Persistent link: https://www.econbiz.de/10009724148

Forecasting value-at-risk using block structure multivariate stochastic volatility models

Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - 2013

Persistent link: https://www.econbiz.de/10009767006

Long memory dynamics for multivariate dependence under heavy tails

Janus, Paweł; Koopman, Siem Jan; Lucas, André - 2011

Persistent link: https://www.econbiz.de/10009720703

Fractional integration and fat tails for realized covariance kernels and returns

Lucas, André; Opschoor, Anne - 2016 - This version: September 1, 2016

We introduce a new fractionally integrated model for covariance matrix dynamics based on the long-memory behavior of daily realized covariance matrix kernels and daily return observations. We account for fat tails in both types of data by appropriate distributional assumptions. The covariance...

Persistent link: https://www.econbiz.de/10011531139

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