The fine structure of equity-index option dynamics

DOI10.1016/J.JECONOM.2015.02.037MaRDI QIDQ2347729zbMATH OpenOpenAlexFDO

Authors Torben G. Andersen, Oleg Bondarenko, Viktor Todorov, George Tauchen

Publication date 8 June 2015

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2015.02.037

zbMATH Keywords

stochastic volatilityimplied volatilityhigh-frequency dataKolmogorov-Smirnov teststable processjump activityVIX index

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cites work

• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• Activity signature functions for high-frequency data analysis
• Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
• Is Brownian motion necessary to model high-frequency data?
• Limit theorems for moving averages of discretized processes plus noise
• Limit theorems for power variations of pure-jump processes with application to activity estima\-tion
• Limit theorems for the empirical distribution function of scaled increments of Itô semimartingales at high frequencies
• Microstructure noise in the continuous case: the pre-averaging approach
• Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps
• Power variation from second order differences for pure jump semimartingales
• Small-Time Asymptotics of Option Prices and First Absolute Moments
• Stochastic Volatility for Lévy Processes
• Testing for jumps in a discretely observed process
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Volatility jumps

Cited in

(16)

• Econometric analysis of financial derivatives: an overview
• Power penalty approach to American options pricing under regime switching
• What Drives Index Options Exposures?
• CHANCE DISCOVERY IN STOCK INDEX OPTION AND FUTURES ARBITRAGE
• Informative option portfolios in filter design for option pricing models
• Estimating Jump Activity Using Multipower Variation
• Jumps or Staleness?
• Efficiency and options on the market index
• Variance dynamics: joint evidence from options and high-frequency returns
• Microstructural biases in empirical tests of option pricing models
• On the estimation of jump-diffusion models using intraday data: a filtering-based approach
• A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation
• Nonparametric filtering of conditional state-price densities
• Inference for local distributions at high sampling frequencies: a bootstrap approach
• Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale
• The S\&P 500 index as a Sato process travelling at the speed of the VIX

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