Narrow search
Showing 1 - 10 of 117
Cover Image
The Factor Structure in Equity Options
Christoffersen, Peter; Fournier, Mathieu; Jacobs, Kris - School of Economics and Management, University of Aarhus - 2013
Principal component analysis of equity options on Dow-Jones firms reveals a strong factor structure. The first principal component explains 77% of the variation in the equity volatility level, 77% of the variation in the equity option skew, and 60% of the implied volatility term structure across...
Persistent link: https://www.econbiz.de/10010851218
Cover Image
The Factor Structure in Equity Options
Christoffersen, Peter - 2016
Equity options display a strong factor structure. The first principal components of the equity volatility levels, skews, and term structures explain a substantial fraction of the cross-sectional variation. Furthermore, these principal components are highly correlated with the S&P500 index option...
Persistent link: https://www.econbiz.de/10013007655
Cover Image
A Tractable Framework for Option Pricing with Dynamic Market Maker Inventory and Wealth
Fournier, Mathieu - 2018
prices depend on inventory risk and market maker wealth. The risk averse market maker absorbs positive demand by end users … and requires a more negative variance risk premium when she incurs losses. The model is parsimonious and nests existing …
Persistent link: https://www.econbiz.de/10012938291
Cover Image
Modeling Conditional Factor Risk Premia Implied by Index Option Returns
Fournier, Mathieu; Jacobs, Kris; Orłowski, Piotr - 2021
We propose a novel factor model for option returns. Option exposures are estimated nonparametrically and factor risk … option return dynamics. Using index options, we characterize the conditional risk premia for the market return, market … variance, and tail and intermediary risk factors. All average risk premia have the expected sign and meaningful magnitudes …
Persistent link: https://www.econbiz.de/10013213854
Cover Image
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation
Christoffersen, Peter; Feunou, Bruno; Jacobs, Kris; … - Bank of Canada - 2012
Many studies have documented that daily realized volatility estimates based on intraday returns provide volatility forecasts that are superior to forecasts constructed from daily returns only. We investigate whether these forecasting improvements translate into economic value added. To do so we...
Persistent link: https://www.econbiz.de/10010575969
Cover Image
The economic value of realized volatility: Using high-frequency returns for option valuation
Christoffersen, Peter; Feunou, Bruno; Jacobs, Kris; … - 2012
Many studies have documented that daily realized volatility estimates based on intraday returns provide volatility forecasts that are superior to forecasts constructed from daily returns only. We investigate whether these forecasting improvements translate into economic value added. To do so we...
Persistent link: https://www.econbiz.de/10010319629
Cover Image
The economic value of realized volatility : using high-frequency returns for option valuation
Christoffersen, Peter F.; Feunou, Bruno; Jacobs, Kris; … - 2012
Many studies have documented that daily realized volatility estimates based on intraday returns provide volatility forecasts that are superior to forecasts constructed from daily returns only. We investigate whether these forecasting improvements translate into economic value added. To do so we...
Persistent link: https://www.econbiz.de/10009627514
Cover Image
Correlation Dynamics and International Diversification Benefits
Christoffersen, Peter; Errunza, Vihang R.; Jacobs, Kris; … - School of Economics and Management, University of Aarhus - 2013
Forecasting the evolution of security co-movements is critical for asset pricing and portfolio allocation. Hence, we investigate patterns and trends in correlations over time using weekly returns for developed markets (DMs) and emerging markets (EMs) during the period 1973-2012. We show that it...
Persistent link: https://www.econbiz.de/10010851264
Cover Image
The Importance of the Loss Function in Option Valuation
Christoffersen, Peter; Jacobs, Kris - Centre Interuniversitaire de Recherche en Analyse des … - 2003
Which loss function should be used when estimating and evaluating option valuation models? Many different functions have been suggested, but no standard has emerged. We emphasize that consistency in the choice of loss functions is crucial. First, for any given model, the loss function used in...
Persistent link: https://www.econbiz.de/10005100937
Cover Image
Dynamic jump intensities and risk premiums in crude oil futures and options markets
Christoffersen, Peter F.; Jacobs, Kris; Li, Bingxin - 2016
Options on crude oil futures are the most actively traded commodity options. We develop a class of computationally efficient discrete-time jump models that allow for closed-form option valuation, and we use crude oil futures and options data to investigate the economic importance of jumps and...
Persistent link: https://www.econbiz.de/10011646275