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Multivariate Option Pricing with Time Varying Volatility and Correlations
Rombouts, Jeroen V.K.; Stentoft, Lars - Centre Interuniversitaire sur le Risque, les Politiques … - 2010
models, and we provide a feasible way to price options in this framework. Our framework can be used irrespective of the … options on the minimum of two indices. Our results show that not only is correlation important for these options but so is …
Persistent link: https://www.econbiz.de/10008595653
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Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models
Rombouts, Jeroen V.K.; Stentoft, Lars - Centre Interuniversitaire sur le Risque, les Politiques … - 2009
, mispricings remain. This paper uses mixed normal heteroskedasticity models to price options. Our model allows for significant … negative skewness and time varying higher order moments of the risk neutral distribution. Parameter inference using Gibbs …. When forecasting out-of-sample options on the S&P 500 index, substantial improvements are found compared to a benchmark …
Persistent link: https://www.econbiz.de/10008528563
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Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models
Rombouts, Jeroen V.K.; Stentoft, Lars - School of Economics and Management, University of Aarhus - 2010
This paper uses asymmetric heteroskedastic normal mixture models to fit return data and to price options. The models …, and allow for substantial negative skewness and time varying higher order moments of the risk neutral distribution. When … forecasting out-of-sample a large set of index options between 1996 and 2009, substantial improvements are found compared to …
Persistent link: https://www.econbiz.de/10008462026
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Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models
Rombouts, Jeroen V.K.; Stentoft, Lars - School of Economics and Management, University of Aarhus - 2009
, mispricings remain. This paper uses mixed normal heteroskedasticity models to price options. Our model allows for significant … negative skewness and time varying higher order moments of the risk neutral distribution. Parameter inference using Gibbs …. When forecasting out-of-sample options on the S&P 500 index, substantial improvements are found compared to a benchmark …
Persistent link: https://www.econbiz.de/10005440079
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Bayesian option pricing using mixed normalheteroskedasticity models
Rombouts, Jeroen; Stentoft, Lars - Center for Operations Research and Econometrics … - 2009
, mispricings remain. This paper uses mixed normalheteroskedasticity models to price options. Our model allows for significant …. When forecasting out-of-sample options on the S&P 500index, substantial improvements are found compared to a benchmark …
Persistent link: https://www.econbiz.de/10005868652
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Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets
Bardgett, Chris; Gourier, Elise; Leippold, Markus - 2016
This paper studies the information content of the S&P 500 and VIX markets on the volatility of the S&P 500 returns. We estimate a flexible affine model based on a joint time series of underlying indexes and option prices on both markets. An extensive model specification analysis reveals that...
Persistent link: https://www.econbiz.de/10011410916
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Returns in commodities futures markets and financial speculation : a multivariate GARCH approach
Manera, Matteo; Nicolini, Marcella; Vignati, Ilaria - 2012
This paper analyses futures prices for four energy commodities (light sweet crude oil, heating oil, gasoline and natural gas) and five agricultural commodities (corn, oats, soybean oil, soybeans and wheat), over the period 1986-2010. Using CCC and DCC multivariate GARCH models, we find that...
Persistent link: https://www.econbiz.de/10009535531
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Futures price volatility in commodities markets : the role of short term vs long term speculation
Manera, Matteo; Nicolini, Marcella; Vignati, Ilaria - 2013
This paper evaluates how different types of speculation affect the volatility of commodities' futures prices. We adopt four indexes of speculation: Working's T, the market share of non-commercial traders, the percentage of net long speculators over total open interest in future markets, which...
Persistent link: https://www.econbiz.de/10009756298
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Returns in commodities futures markets and financial speculation: a multivariate GARCH approach
Manera, Matteo; Nicolini, Marcella; Vignati, Ilaria - 2012
This paper analyses futures prices for four energy commodities (light sweet crude oil, heating oil, gasoline and natural gas) and five agricultural commodities (corn, oats, soybean oil, soybeans and wheat), over the period 1986-2010. Using CCC and DCC multivariate GARCH models, we find that...
Persistent link: https://www.econbiz.de/10010343837
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Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets
Bardgett, Chris; Gourier, Elise; Leippold, Markus - 2013
This paper shows that the VIX market contains information on the variance of the S&P 500 returns, which is not already spanned by the S&P 500 market. We estimate a flexible affine model based on a joint time series of underlying indexes and option prices on both markets. We find that including...
Persistent link: https://www.econbiz.de/10010256394