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Option valuation with observable volatility and jump dynamics
Christoffersen, Peter F.; Feunou, Bruno; Jeon, Yoontae - 2015
diffusive volatility and squared jump variation. We use this result to develop a new option valuation model in which the … underlying asset price exhibits volatility and jump intensity dynamics. The volatility and jump intensity dynamics in the model … are directly driven by model-free empirical measures of diffusive volatility and jump variation. Because the empirical …
Persistent link: https://www.econbiz.de/10011377837
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Model-based pricing for financial derivatives
Zhu, Ke; Ling, Shiqing - In: Journal of econometrics 187 (2015) 2, pp. 447-457
Persistent link: https://www.econbiz.de/10011499705
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Option pricing with conditional GARCH models
Escobar, Marcos; Rastegari, Javad; Stentoft, Lars - In: European journal of operational research : EJOR 289 (2021) 1, pp. 350-363
Persistent link: https://www.econbiz.de/10012416733
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Option valuation with volatility components, fat tails, and nonmonotonic pricing Kernels
Babaoğlu, Kadir; Christoffersen, Peter F.; Heston, … - In: Review of asset pricing studies 8 (2018) 2, pp. 183-231
Persistent link: https://www.econbiz.de/10012002169
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Affine multivariate GARCH models
Escobar, Marcos; Rastegari, Javad; Stentoft, Lars - In: Journal of banking & finance 118 (2020), pp. 1-16
Persistent link: https://www.econbiz.de/10012521059
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Closed-Form Variance Swap Prices under General Affine GARCH Models and Their Continuous-Time Limits
Badescu, Alex - 2017
In this paper, we derive fully explicit closed-form expressions for the fair strike prices of discrete-time variance swaps under general affine GARCH type models that have been risk-neutralized with a family of variance dependent pricing kernels. The methodology relies on solving differential...
Persistent link: https://www.econbiz.de/10012950229
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A new bivariate approach for modeling the interaction between stock volatility and interest rate : an application to S&P500 returns and options
Ballestra, Luca Vincenzo; D'Innocenzo, Enzo; Guizzardi, … - In: European journal of operational research : EJOR 314 (2024) 3, pp. 1185-1194
Persistent link: https://www.econbiz.de/10014456945
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Option valuation with nonmonotonic pricing kernel and embedded volatility component premiums
Chang, Hsuan-Ling; Cheng, Hung-Wen; Lei, Yi-Ding - In: The journal of derivatives : JOD 30 (2023) 4, pp. 105-127
Persistent link: https://www.econbiz.de/10014306890
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Higher order asymptotic bond price valuation for interest rates with non-Gaussian dependent innovations
Honda, Tetsuhiro; Tamaki, Kenichiro; Shiohama, Takayuki - In: Finance research letters 7 (2010) 1, pp. 60-69
Persistent link: https://www.econbiz.de/10003972397
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Is the price kernel monotone?
Barone-Adesi, Giovanni; Dall'O, Hakim - 2010
We provide a new method to derive the state price density per unit probability based on option prices and GARCH model. We derive the risk neutral distribution using the result in Breeden and Litzenberger (1978) and the historical density adapting the GARCH model of Barone-Adesi, Engle, and...
Persistent link: https://www.econbiz.de/10003973040