An empirical model of volatility of returns and option pricing

DOI10.1016/S0378-4371(03)00589-2zbMATH Open1056.91024OpenAlexW2135983145MaRDI QIDQ1409097FDOQ1409097

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

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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)

Cites Work

• The pricing of options and corporate liabilities
• Title not available (Why is that?)
• Elements for a theory of financial risks
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• Introduction to Econophysics
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• Pricing Risky Options Simply
• Characterization of stationary distributions using conditional expectations

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
• Title not available (Why is that?)
• Model‐based quantification of the volatility of options at transaction level with extended count regression models
• Accounting for risk of non linear portfolios. A novel Fourier approach
• 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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