Option pricing under a stressed-beta model

DOI10.1007/S10436-009-0141-YMaRDI QIDQ470515zbMATH OpenOpenAlexFDO

Authors Jean-Pierre Fouque, Adam P. Tashman

Publication date 12 November 2014

Published in Annals of Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

Full work available at URL https://doi.org/10.1007/s10436-009-0141-y

zbMATH Keywords

regime-switchingoption pricingcalibrationCAPMstochastic volatilityimplied volatility skewsstressed-beta model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

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• scientific article; zbMATH DE number 912567 (Why is no real title available?)
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Calibration of Stock Betas from Skews of Implied Volatilities
• Modeling risk in arbitrage strategies using finite mixtures§
• Singular Perturbations in Option Pricing
• Time-Varying Betas Help in Asset Pricing: The Threshold CAPM
• Trivariate density of Brownian motion, its local and occupation times, with application to stochastic control

Cited in

(4)

• Exchange option in a two-state Poisson CAPM
• A test of the beta model on Eurodollar futures options
• On pricing options with stressed-beta in a reduced form model
• Implied volatility of leveraged ETF options

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