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The price of the smile and variance risk premia
Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - 2015 - This version: September 8, 2015
In a tractable stochastic volatility model, we identify the price of the smile as the price of the unspanned risks traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a downward sloping term structure of low-frequency variance...
Persistent link: https://www.econbiz.de/10011412294
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The price of the smile and variance risk premia
Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - In: Management science : journal of the Institute for … 67 (2021) 7, pp. 4056-4074
Persistent link: https://www.econbiz.de/10012623900
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Scheduling processes and inference of scheduled events from price data
Leippold, Markus; Svaton, Michal - 2024
Persistent link: https://www.econbiz.de/10014486795
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Parameter estimation of the Heston volatility model with jumps in the asset prices
Gruszka, Jarosław; Szwabiński, Janusz - In: Econometrics : open access journal 11 (2023) 2, pp. 1-26
The parametric estimation of stochastic differential equations (SDEs) has been the subject of intense studies already … estimation procedure of the Heston model without and with jumps in the asset prices is presented. Bayesian regression combined … with the particle filtering method is used as the estimation framework. Within the framework, we propose a novel approach …
Persistent link: https://www.econbiz.de/10014362627
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The continuous limit of weak GARCH
Alexander, Carol; Lazar, Emese - In: Econometric reviews 40 (2021) 2, pp. 197-216
Persistent link: https://www.econbiz.de/10012483807
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Affine Heston model style with self-exciting jumps and long memory
Leunga, Charles Guy Njike; Hainaut, Donatien - In: Annals of finance 20 (2024) 1, pp. 1-43
Persistent link: https://www.econbiz.de/10014566365
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Temporal aggregation and long memory for asset price volatility
Perron, Pierre; Shi, Wendong - In: Journal of risk and financial management : JRFM 13 (2020) 8/182, pp. 1-18
The effects of temporal aggregation and choice of sampling frequency are of great interest in modeling the dynamics of asset price volatility. We show how the squared low-frequency returns can be expressed in terms of the temporal aggregation of a high-frequency series. Based on the theory of...
Persistent link: https://www.econbiz.de/10012321959
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Option pricing with non-Gaussian scaling and infinite-state switching volatility
Baldovin, Fulvio; Caporin, Massimiliano; Caraglio, Michele - In: Journal of econometrics 187 (2015) 2, pp. 486-497
Persistent link: https://www.econbiz.de/10011499748
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Guaranteed stop orders as portfolio insurance : an analysis for the German stock market
Leicht, Jonathan Josef; Rathgeber, Andreas W. - In: Journal of derivatives & hedge funds 20 (2014) 4, pp. 257-278
Persistent link: https://www.econbiz.de/10010462895
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Fractional stochastic volatility correction to CEV implied volatility
Kim, Hyun-Gyoon; Kwon, Se-Jin; Kim, Jeong-Hoon - In: Quantitative finance 21 (2021) 4, pp. 565-574
Persistent link: https://www.econbiz.de/10012483839