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Local Volatility of Volatility for the VIX Market
Drimus, Gabriel; Farkas, Erich Walter - National Centre of Competence in Research - Financial … - 2011
Following a trend of sustained and accelerated growth, the VIXfutures and options market has become a closely followed …
Persistent link: https://www.econbiz.de/10009418979
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Realizing Smiles: Options Pricing with Realized Volatility
Corsi, Fulvio; Fusari, Nicola; La Vecchia, Davide - National Centre of Competence in Research - Financial … - 2011
&P 500 index options illustrates that our approach significantly outperformscompeting time-varying (i.e. GARCH-type) and …
Persistent link: https://www.econbiz.de/10009486857
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Conditional Density Models for Asset Pricing
Filipović, Damir; Hughston, Lane P.; Macrina, Andrea - National Centre of Competence in Research - Financial … - 2010
suffciently exible to allowfor the input of various types of data depending on the nature of the options marketand the class of …
Persistent link: https://www.econbiz.de/10009486978
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Three Make a Dynamic Smile – Unspanned Skewnessand Interacting Volatility Components in OptionValuation
Gruber, Peter; Tebaldi, Claudio; Trojani, Fabio - National Centre of Competence in Research - Financial … - 2010
stochastic skewness component unrelated to volatility shocks. Theseproperties are useful in order (i) to model a term structure … an appropriatedecomposition of volatility and skewness, highlighting the main directions of improvementsproduced by our …
Persistent link: https://www.econbiz.de/10009522187
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When Uncertainty Blows in the Orchard: Comovementand the Equilibrium Volatility Risk Premia
Buraschi, Andrea; Trojani, Fabio; Vedolin, Andrea - Swiss National Centre of Competence in Research North … - 2010
dynamics and the cross-sectional features of index and individual stock options.[...] …
Persistent link: https://www.econbiz.de/10009305103
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The Joint Behavior of Credit Spreads, Stock Optionsand Equity Returns when Investors Disagree
Buraschi, Andrea; Trojani, Fabio; Vedolin, Andrea - Swiss National Centre of Competence in Research North … - 2008
We study how the interaction of agents with different beliefs about a firm’s future cash flows determines the jointbehavior of credit spreads, option implied volatilities, and stock returns. Beliefs heterogeneity influences the pricing kernelin a way that supports more realistic credit spreads...
Persistent link: https://www.econbiz.de/10005868970