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The implied-realized volatility relation with jumps in underlying asset prices

Christensen, Bent Jesper; Nielsen, Morten Ørregaard - 2005

Persistent link: https://www.econbiz.de/10002670536

The implied-realized volatility relation with jumps in underlying asset prices

Christensen, Bent Jesper (contributor); … - 2005

realized volatility. The jump component has very different time series properties than the continuous component, and accounting … for this allows improved forecasting of future realized volatility. We investigate the potential forecasting role of … implied volatility backed out from option prices in the presence of these new separate realized volatility components. We show …

Persistent link: https://www.econbiz.de/10003795292

An overreaction implementation of the coherent market hypothesis and option pricing

Schöbel, Rainer (contributor); Veith, Jochen (contributor) - 2006

Inspired by the theory of social imitation (Weidlich 1970) and its adaptation to financial markets by the Coherent Market Hypothesis (Vaga 1990), we present a behavioral model of stock prices that supports the overreaction hypothesis. Using our dynamic stock price model, we develop a two factor...

Persistent link: https://www.econbiz.de/10003636657

Financial markets with volatility uncertainty

Vorbrink, Jörg - 2010

financial market that features volatility uncertainty. To have a mathematical consistent framework we use the notion of G … this more complex situation and consider stock price dynamics which exclude arbitrage opportunities. Due to volatility … claims and deduce explicit results in a Markovian setting. -- Pricing of contingent claims ; incomplete markets ; volatility …