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

DOI10.1016/J.PHYSA.2016.06.136MaRDI QIDQ1619987zbMATHOpenAlexFDO

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

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)

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Cites work

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

Cited in

(2)

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

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