Post-'87 crash fears in the S\&P 500 futures option market
From MaRDI portal
Publication:1969818
DOI10.1016/S0304-4076(99)00021-4zbMath0942.62118MaRDI QIDQ1969818
Publication date: 24 August 2000
Published in: Journal of Econometrics (Search for Journal in Brave)
Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Related Items
ASSET ALLOCATION AND ASSET PRICING IN THE FACE OF SYSTEMIC RISK: A LITERATURE OVERVIEW AND ASSESSMENT, SELF-DECOMPOSABILITY AND OPTION PRICING, OPTION SURFACE STATISTICS WITH APPLICATIONS, Inference for a Class of Stochastic Volatility Models Using Option and Spot Prices: Application of a Bivariate Kalman Filter, A CLOSED-FORM PRICING FORMULA FOR EUROPEAN EXCHANGE OPTIONS WITH STOCHASTIC VOLATILITY, STOCHASTIC VOLATILITY MODEL WITH CORRELATED JUMP SIZES AND INDEPENDENT ARRIVALS, Dark Matter in (Volatility and) Equity Option Risk Premiums, Pseudospectral methods for pricing options, Stochastic Volatility for Lévy Processes, The Term Structure of Simple Forward Rates with Jump Risk, When do jumps matter for portfolio optimization?, NONPARAMETRIC STOCHASTIC VOLATILITY, Geometric Asian option pricing in general affine stochastic volatility models with jumps, Risk Neutral Jump Arrival Rates Implied in Option Prices and Their Models, Valuing variable annuity guarantees on multiple assets, Option pricing under stochastic volatility models with latent volatility, Constrained mean-variance portfolio optimization for jump-diffusion process under partial information, Novel computational technique for the direct estimation of risk-neutral density using call price data quotes, Pricing VIX derivatives using a stochastic volatility model with a flexible jump structure, Hedging Option Books Using Neural-SDE Market Models, Approximate option pricing under a two-factor Heston-Kou stochastic volatility model, Pricing American options under Azzalini Ito-McKean skew Brownian motions, Can a Machine Correct Option Pricing Models?, IMPLEMENTING ARROW–DEBREU EQUILIBRIA IN APPROXIMATELY COMPLETE SECURITY MARKETS, Testing for Jump Spillovers Without Testing for Jumps, Representation of exchange option prices under stochastic volatility jump-diffusion dynamics, IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY, The dynamics of commodity prices, Risk premiums in a simple market model for implied volatility, A new class of Bayesian semi-parametric models with applications to option pricing, The term structure of S&P 100 model-free volatilities, Additive Processes with Bilateral Gamma Marginals, AN EQUILIBRIUM GUIDE TO DESIGNING AFFINE PRICING MODELS, Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility, Understanding option prices, Short Positions, Rally Fears and Option Markets, An empirical analysis of the volatility of the Japanese stock price index: a non-parametric approach, Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models, Likelihood Evaluation of Jump-Diffusion Models Using Deterministic Nonlinear Filters, Estimation of affine asset pricing models using the empirical characteristic function, EXACT PRICING WITH STOCHASTIC VOLATILITY AND JUMPS, A practical approach to semideviation and its time scaling in a jump-diffusion process, OUT-OF-SAMPLE STOCK RETURN PREDICTION USING HIGHER-ORDER MOMENTS, A forward started jump-diffusion model and pricing of cliquet style exotics, The effects of asymmetric volatility and jumps on the pricing of VIX derivatives, MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS, Delta-hedging vega risk?, Implicit Bayesian Inference Using Option Prices, APPROXIMATING GARCH‐JUMP MODELS, JUMP‐DIFFUSION PROCESSES, AND OPTION PRICING, Comment on article by Windle and Carvalho, Detecting price jumps in the presence of market microstructure noise, On the Estimation of Jump-Diffusion Models Using Intraday Data: A Filtering-Based Approach, SPATIAL DEPENDENCE IN OPTION OBSERVATION ERRORS, Informative option portfolios in filter design for option pricing models, Riding on the smiles, The impact of jumps and leverage in forecasting covolatility, Calibration of a nonlinear feedback option pricing model, The fair value of guaranteed annuity options, Three-point approach for estimating integrated volatility and integrated covariance, Pricing foreign equity option with stochastic volatility, No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications, On the source of stochastic volatility: evidence from CAC40 index options during the subprime crisis, Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility, Implied volatility and skewness surface, Volatility puzzles: a simple framework for gauging return-volatility regressions, Option valuation with conditional skewness, Testing for jumps when asset prices are observed with noise -- a ``swap variance approach, Lévy processes driven by stochastic volatility, Quality control for structural credit risk models, A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects, The market for crash risk, Estimating jump-diffusions using closed-form likelihood expansions, Strong convergence of Monte Carlo simulations of the mean-reverting square root process with jump, Pricing foreign equity option under stochastic volatility tempered stable Lévy processes, Pricing vulnerable options with stochastic volatility, How should a local regime-switching model be calibrated?, Testing for volatility jumps in the stochastic volatility process, Level and slope of volatility smiles in long-run risk models, Robustness of stable volatility strategies, Closed-form implied volatility surfaces for stochastic volatility models with jumps, VIX-linked fees for GMWBs via explicit solution simulation methods, The pricing kernel puzzle: survey and outlook, Asian options pricing in Hawkes-type jump-diffusion models, Calibration and hedging under jump diffusion, Price discovery in the U.S. stock and stock options markets: a portfolio approach, Dynamic relations of uncertainty expectations: a conditional assessment of implied volatility indices, A lattice model for option pricing under GARCH-jump processes, A spectral estimation of tempered stable stochastic volatility models and option pricing, Specification tests of calibrated option pricing models, Pricing VIX derivatives with free stochastic volatility model, A tale of two option markets: pricing kernels and volatility risk, Nonparametric option pricing under shape restrictions, Empirical assessment of an intertemporal option pricing model with latent variables., The dynamics of stochastic volatility: evidence from underlying and options markets, Alternative models for stock price dynamics., Empirical option pricing: A retrospection, A discrete-time hedging framework with multiple factors and fat tails: on what matters, Why does bad news increase volatility and decrease leverage?, Adaptive priors based on splines with random knots, Calibration of GARCH models using concurrent accelerated random search, Multi-criteria classification for pricing European options, Resolution of policy uncertainty and sudden declines in volatility, Bias reduction in spot volatility estimation from options, Option pricing under two-factor stochastic volatility jump-diffusion model, Affine processes and applications in finance, Optimal investment and consumption when regime transitions cause price shocks, Equilibrium asset pricing with systemic risk, Variance trading and market price of variance risk, Aggregation of preferences for skewed asset returns, Time-varying jump tails, Pricing and hedging long-term options, The term structure of equity and variance risk premia, High-frequency jump tests: which test should we use?, A closed-form solution for options with ambiguity about stochastic volatility, Learning, confidence, and option prices, Determinants of S\&P 500 index option returns, Static versus dynamic hedges: an empirical comparison for barrier options, Multifrequency jump-diffusions: An equilibrium approach, Simulation-based exact jump tests in models with conditional heteroskedasticity, Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination, Wavelet-based option pricing: an empirical study, Portfolio selection: a review, Probabilistic forecasts of volatility and its risk premia, Calibration of a path-dependent volatility model: empirical tests, Indirect estimation of \(\alpha \)-stable stochastic volatility models, A switching self-exciting jump diffusion process for stock prices, Polynomial processes and their applications to mathematical finance, Spectral estimation of the Lévy density in partially observed affine models, Saddlepoint approximations for affine jump-diffusion models, Revealing the implied risk-neutral MGF from options: the wavelet method, A closed-form expansion approach for pricing discretely monitored variance swaps, Pricing power exchange options with Hawkes jump diffusion processes, Assessing the quality of volatility estimators via option pricing, On implied volatility for options -- some reasons to smile and more to correct, VIX derivatives, hedging and vol-of-vol risk, Jumps and betas: a new framework for disentangling and estimating systematic risks, Threshold bipower variation and the impact of jumps on volatility forecasting, Estimation of objective and risk-neutral distributions based on moments of integrated volatility, Threshold estimation of Markov models with jumps and interest rate modeling, Realized jumps on financial markets and predicting credit spreads, A reduced form framework for modeling volatility of speculative prices based on realized variation measures, A realized volatility approach to option pricing with continuous and jump variance components, Generalized spectral testing for multivariate continuous-time models, Sieve estimation of option-implied state price density, Nonparametric filtering of conditional state-price densities, Explaining S{\&}P500 option returns: an implied risk-adjusted approach, Pricing VIX options with stochastic skew and asymmetric jumps, The continuity and estimates of a solution to mixed fractional constant elasticity of variance system with stochastic volatility and the pricing of vulnerable options, Microstructural biases in empirical tests of option pricing models, Model risk in the over-the-counter market, The smirk in the S\&P500 futures options prices: a linearized factor analysis, Optimal pension fund management under risk and uncertainty: the case study of Poland, Optimal demand in a mispriced asymmetric Carr-Geman-Madan-Yor (CGMY) economy, Exponential moments of affine processes, The surprise element: Jumps in interest rates., Market-based estimation of stochastic volatility models, What is beneath the surface? Option pricing with multifrequency latent states, Smile from the past: a general option pricing framework with multiple volatility and leverage components, Affine processes for dynamic mortality and actuarial valuations
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
- The Pricing of Options and Corporate Liabilities
- Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models
- Extensions of estimation methods using the EM algorithm
- Statistical methods in finance
- A Theory of the Term Structure of Interest Rates
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- On Feedback Effects from Hedging Derivatives
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Option pricing when underlying stock returns are discontinuous
