A tale of two option markets: pricing kernels and volatility risk
From MaRDI portal
Publication:894646
DOI10.1016/J.JECONOM.2015.06.024zbMATH Open1422.91723OpenAlexW2099793575MaRDI QIDQ894646FDOQ894646
Publication date: 2 December 2015
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.federalreserve.gov/pubs/feds/2014/201458/201458pap.pdf
Recommendations
- Option market trading activity and the estimation of the pricing kernel: a Bayesian approach
- Empirical reverse engineering of the pricing kernel.
- Option valuation with IG-GARCH model and a U-shaped pricing kernel
- Pricing kernels, market utility functions and investor preferences
- The pricing kernel puzzle in forward looking data
Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
- The elements of statistical learning. Data mining, inference, and prediction
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- Alternative models for stock price dynamics.
- Title not available (Why is that?)
- Title not available (Why is that?)
- Stochastic Volatility for Lévy Processes
- An Effective Bandwidth Selector for Local Least Squares Regression
- Filtering via Simulation: Auxiliary Particle Filters
- Bayesian inference for nonlinear structural time series models
- Estimation of conditional densities and sensitivity measures in nonlinear dynamical systems
- A crossvalidation method for estimating conditional densities
- Multivariate locally weighted least squares regression
- Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
- Nonparametric option pricing under shape restrictions
- Nonparametric risk management and implied risk aversion
- Post-'87 crash fears in the S\&P 500 futures option market
- Volatility in equilibrium: asymmetries and dynamic dependencies
- Title not available (Why is that?)
- Volatility Jumps
- The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
- Dynamic Conditional Independence Models and Markov Chain Monte Carlo Methods
- Nonparametric Transition-Based Tests for Jump Diffusions
- Title not available (Why is that?)
- Particle Filtering
- Cross-validatory bandwidth selections for regression estimation based on dependent data
- A regime-switching Heston model for VIX and S&P 500 implied volatilities
Cited In (27)
- Parametric risk-neutral density estimation via finite lognormal-Weibull mixtures
- NONPARAMETRIC DENSITY ESTIMATION BY B-SPLINE DUALITY
- Option market trading activity and the estimation of the pricing kernel: a Bayesian approach
- The pricing kernel puzzle: survey and outlook
- A multifactor transformed diffusion model with applications to VIX and VIX futures
- SIEVE ESTIMATION OF THE MINIMAL ENTROPY MARTINGALE MARGINAL DENSITY WITH APPLICATION TO PRICING KERNEL ESTIMATION
- A data-driven framework for consistent financial valuation and risk measurement
- Option valuation under no-arbitrage constraints with neural networks
- Closed-form variance swap prices under general affine GARCH models and their continuous-time limits
- Solvable Diffusion Models with Linear and Mean-Reverting Nonlinear Drifts
- Direct Semi-Parametric Estimation of the State Price Density Implied in Option Prices
- Volatility-Related Exchange Traded Assets: An Econometric Investigation
- Sieve estimation of option-implied state price density
- A new representation of the risk-neutral distribution and its applications
- Semiparametric estimation of latent variable asset pricing models
- Goodness-of-Fit Test in Multivariate Jump Diffusion Models
- Time-varying jump tails
- A discrete-time hedging framework with multiple factors and fat tails: on what matters
- A dynamic equilibrium model for U-shaped pricing kernels
- Option augmented density forecasts of market returns with monotone pricing kernel
- Conditional risk-neutral density from option prices by local polynomial kernel smoothing with no-arbitrage constraints
- Nonparametric filtering of conditional state-price densities
- Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options
- Specification analysis in regime-switching continuous-time diffusion models for market volatility
- Real‐time waiting‐price trading interval in a heterogeneous options market: a Bernoulli distribution
- Resolution of policy uncertainty and sudden declines in volatility
- Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle
Uses Software
This page was built for publication: A tale of two option markets: pricing kernels and volatility risk
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q894646)
