On the source of stochastic volatility: evidence from CAC40 index options during the subprime crisis

DOI10.1016/J.PHYSA.2016.06.136zbMATH Open1400.91668OpenAlexW2465441225MaRDI QIDQ1619987FDOQ1619987

Authors: Skander Slim 

Publication date: 13 November 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2016.06.136

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zbMATH Keywords

stochastic volatilityvolatility risk premiumequity index optionssquare-root unscented Kalman filtertime-changed Lévy process

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70)

Cites Work

• A jump-diffusion model for option pricing
• A theory of the term structure of interest rates
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Alternative models for stock price dynamics.
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• The Stationary Bootstrap
• A Reality Check for Data Snooping
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Multiscale Stochastic Volatility Asymptotics
• The Variance Gamma Process and Option Pricing
• Post-'87 crash fears in the S\&P 500 futures option market
• Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
• The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well
• Variance reduction for Monte Carlo methods to evaluate option prices under multi-factor stochastic volatility models
• Variance dynamics: joint evidence from options and high-frequency returns
• Stochastic volatility and the goodness-of-fit of the Heston model
• Pricing foreign equity option with stochastic volatility

Cited In (2)

• Pricing vulnerable options with stochastic volatility
• MCMC ESTIMATION OF LÉVY JUMP MODELS USING STOCK AND OPTION PRICES

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