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Performance Measurement for Option Portfolios in a Stochastic Volatility Framework

Baule, Rainer - 2019

underlying, their exposure to volatility risk, and their time decay. Our contribution to the literature is twofold: First, we … volatility according to Heston (1993). Within this setting, the portfolio returns are explained by the market and an additional … option factor, i.e., a portfolio of standard options exposed to volatility risk. We show that (i) any option factor is …

Persistent link: https://www.econbiz.de/10012900121

A Bayesian stochastic discount factor for the cross-section of individual equity options

Käfer, Niclas; Mörke, Mathis; Weigert, Florian; … - 2025 - This version: April 23, 2024

and portfolios. We document that the SDF is dense in characteristics with the impliedrealized volatility spread, option …

Persistent link: https://www.econbiz.de/10015204018

Analogy Making and the Puzzles of Index Option Returns and Implied Volatility Skew

Siddiqi, Hammad - 2015

An anchoring-adjusted option pricing model is developed in which the volatility of the underlying stock return is used … as a starting point that gets adjusted upwards to form expectations about call option volatility. I show that the …

Persistent link: https://www.econbiz.de/10013033252

Hedging Volatility Risk of Exotic Structures Using Variance Derivatives

Zarov, Iliyan Radev - 2012

volatility jump diffusion model …

Persistent link: https://www.econbiz.de/10013113731

Option-implied information and predictability of extreme returns

Vilkovz, Grigory; Xiaox, Yan - 2013 - This version: January 28, 2013

We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market returns, magnitude, and probability of the market crashes, beyond and above...

Persistent link: https://www.econbiz.de/10010226098

The term structure of systematic and idiosyncratic risk

Hollstein, Fabian; Prokopczuk, Marcel; Wese Simen, Chardin - 2017

We study the term structure of variance (total risk), systematic and idiosyncratic risk. Consistent with the expectations hypothesis, we find that, for the entire market, the slope of the term structure of variance is mainly informative about the path of future variance. Thus, there is little...

Persistent link: https://www.econbiz.de/10011751173

Multivariate FX Models with Jumps : Triangles, Quantos and Implied Correlation

Ballotta, Laura - 2017

tractable. The approach allows for simultaneous calibration to market volatility surfaces of currency triangles, and also gives …

Persistent link: https://www.econbiz.de/10012963076

Mean-Variance Hedging and Optimal Investment in Heston's Model with Correlation

Černý, Aleš - 2020

systematically with the volatility of stock returns. We allow for correlation between stock returns and their volatility (so …

Persistent link: https://www.econbiz.de/10012705869

Estimation of Multivariate Asset Models with Jumps

Loregian, Angela - 2018

We propose a consistent and computationally efficient 2-step methodology for the estimation of multidimensional non-Gaussian asset models built using Lévy processes. The proposed framework allows for dependence between assets and different tail-behaviors and jump structures for each asset. Our...

Persistent link: https://www.econbiz.de/10012937321

The Empirical Performance of Option Implied Volatility Surface-Driven Optimal Portfolios

Guidolin, Massimo; Wang, Kai - 2022

We apply a two-step strategy to forecast the dynamics of the volatility surface implicit in option prices to all …-post volatility of the minimum-variance portfolio is lower when compared with the equal-weighted portfolio and a minimum …

Persistent link: https://www.econbiz.de/10014235957