A tale of two option markets: pricing kernels and volatility risk

DOI10.1016/j.jeconom.2015.06.024zbMath1422.91723OpenAlexW2099793575MaRDI QIDQ894646

Dacheng Xiu, Zhaogang Song

Publication date: 2 December 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.federalreserve.gov/pubs/feds/2014/201458/201458pap.pdf

zbMATH Keywords

variance swapsVIX optionspricing kernelmulti-factor volatility model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (22)

Option augmented density forecasts of market returns with monotone pricing kernel ⋮ A dynamic equilibrium model for U-shaped pricing kernels ⋮ A new representation of the risk-neutral distribution and its applications ⋮ The pricing kernel puzzle: survey and outlook ⋮ Option market trading activity and the estimation of the pricing kernel: a Bayesian approach ⋮ Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options ⋮ Conditional risk-neutral density from option prices by local polynomial kernel smoothing with no-arbitrage constraints ⋮ Real‐time waiting‐price trading interval in a heterogeneous options market: a Bernoulli distribution ⋮ A discrete-time hedging framework with multiple factors and fat tails: on what matters ⋮ Semiparametric estimation of latent variable asset pricing models ⋮ Solvable Diffusion Models with Linear and Mean-Reverting Nonlinear Drifts ⋮ Specification analysis in regime-switching continuous-time diffusion models for market volatility ⋮ SIEVE ESTIMATION OF THE MINIMAL ENTROPY MARTINGALE MARGINAL DENSITY WITH APPLICATION TO PRICING KERNEL ESTIMATION ⋮ Resolution of policy uncertainty and sudden declines in volatility ⋮ Time-varying jump tails ⋮ A data-driven framework for consistent financial valuation and risk measurement ⋮ Option valuation under no-arbitrage constraints with neural networks ⋮ Closed-form variance swap prices under general affine GARCH models and their continuous-time limits ⋮ Sieve estimation of option-implied state price density ⋮ Nonparametric filtering of conditional state-price densities ⋮ NONPARAMETRIC DENSITY ESTIMATION BY B-SPLINE DUALITY ⋮ A multifactor transformed diffusion model with applications to VIX and VIX futures

Uses Software

• ElemStatLearn

Cites Work

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