Deterministic volatility models and dynamics of option returns

DOI10.14495/JSIAML.3.57MaRDI QIDQ2843181zbMATH OpenOpenAlexFDO

Authors Takahiro Yamamoto, Koichi Miyazaki

Publication date 9 August 2013

Published in JSIAM Letters (Search for Journal in Brave)

Full work available at URL https://www.jstage.jst.go.jp/A_PRedirectJournalInit?sryCd=jsiaml&kijiCd=3_0_57&screenID=AF06S010&noVol=3&noIssue=0

zbMATH Keywords

cross-sectional option returnsdeterministic volatility modepricing kernel

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

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(3)

• Volatility and expected option returns: a note
• Models for option pricing based on empirical characteristic function of returns
• Variance dynamics: joint evidence from options and high-frequency returns

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