Smile from the past: a general option pricing framework with multiple volatility and leverage components

DOI10.1016/j.jeconom.2015.02.036zbMath1337.91149arXiv1404.3555OpenAlexW1530878941MaRDI QIDQ2347728

Fulvio Corsi, Adam A. Majewski, Giacomo Bormetti

Publication date: 8 June 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1404.3555

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (7)

A discrete-time hedging framework with multiple factors and fat tails: on what matters ⋮ Estimating the Constant Elasticity of Variance Model with Data-Driven Markov Chain Monte Carlo Methods ⋮ GARCH option pricing models with Meixner innovations ⋮ A general framework for pricing Asian options under stochastic volatility on parallel architectures ⋮ Closed-form variance swap prices under general affine GARCH models and their continuous-time limits ⋮ A realized volatility approach to option pricing with continuous and jump variance components ⋮ Econometric analysis of financial derivatives: an overview

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