An empirical model of volatility of returns and option pricing

DOI10.1016/S0378-4371(03)00589-2MaRDI QIDQ1409097zbMATH OpenOpenAlexFDO

Authors Joseph L. McCauley, Gemunu H. Gunaratne

Publication date 5 October 2003

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0378-4371(03)00589-2

zbMATH Keywords

financial market dynamicsexponential asset-price distributionfluctuation Fokker-Planck formulation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Stochastic models in economics (91B70)

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Cites work

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• Characterization of stationary distributions using conditional expectations
• Elements for a theory of financial risks
• Introduction to Econophysics
• Pricing Risky Options Simply
• The pricing of options and corporate liabilities

Cited in

(16)

• Variable step random walks and self-similar distributions
• Scaling, correlations, and cascades in finance and turbulence
• Derivative pricing with non-linear Fokker-Planck dynamics
• Implied Volatility of interest rate options: an empirical investigation of the market model
• Modeling volatility persistence of speculative returns: a new approach
• Accounting for risk of non linear portfolios. A novel Fourier approach
• scientific article; zbMATH DE number 5140708 (Why is no real title available?)
• Model‐based quantification of the volatility of options at transaction level with extended count regression models
• The probability distribution of returns in the exponential Ornstein-Uhlenbeck model
• Thermodynamic analogies in economics and finance: instability of markets
• Empirical option pricing: A retrospection
• Models for option pricing based on empirical characteristic function of returns
• Variance dynamics: joint evidence from options and high-frequency returns
• Volatility and expected option returns: a note
• Empirical assessment of an intertemporal option pricing model with latent variables.
• Multiplicative noise, fast convolution and pricing

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