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The price of the smile and variance risk premia
Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - 2015 - This version: September 8, 2015
In a tractable stochastic volatility model, we identify the price of the smile as the price of the unspanned risks … traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a …-form and structural models of stochastic volatility …
Persistent link: https://www.econbiz.de/10011412294
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A general closed form option pricing formula
Necula, Ciprian; Drimus, Gabriel; Farkas, Walter - 2016 - This version: 10 March 2016
that the resulting implied volatility curves provide an accurate approximation for a wide range of strike prices. Based on …
Persistent link: https://www.econbiz.de/10011506359
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Herding and stochastic volatility
Farkas, Walter; Necula, Ciprian; Waelchli, Boris - 2015 - This version: 30 September 2015
In this paper we develop a one-factor non-affine stochastic volatility option pricing model where the dynamics of the … asset induce an amplification of the volatility of the asset over the volatility of the fundamentals. Although the model is …
Persistent link: https://www.econbiz.de/10011507732
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Risk premia and Lévy jumps : theory and evidence
Fallahgoul, Hasan; Hugonnier, Julien; Mancini, Loriano - 2019
market, volatility and jump risks, and observation error of time changes. To operationalize the models, we use volume …
Persistent link: https://www.econbiz.de/10012134215
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Early exercise decision in American options with dividends, stochastic volatility and jumps
Cosma, Antonio; Galluccio, Stefano; Pederzoli, Paola; … - 2016
volatility and jumps instead of the Black-Scholes-Merton benchmark cuts by a quarter the amount lost by investors through …
Persistent link: https://www.econbiz.de/10011625896
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The Jacobi stochastic volatility model
Ackerer, Damien; Filipović, Damir; Pulido, Sergio - 2016
We introduce a novel stochastic volatility model where the squared volatility of the asset return follows a Jacobi …
Persistent link: https://www.econbiz.de/10011516036
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Option pricing with orthogonal polynomial expansions
Ackerer, Damien; Filipović, Damir - 2017
We derive analytic series representations for European option prices in polynomial stochastic volatility models. This …
Persistent link: https://www.econbiz.de/10011870651
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Polynomial jump-diffusion models
Filipović, Damir; Larsson, Martin - 2017
We develop a comprehensive mathematical framework for polynomial jump-diffusions in a semimartingale context, which nest affine jump-diffusions and have broad applications in finance. We show that the polynomial property is preserved under polynomial transformations and Lévy time change. We...
Persistent link: https://www.econbiz.de/10011874871
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Analytical option pricing under an asymmetrically displaced double gamma jump-diffusion model
Thul, Matthias; Zhang, Ally Quan - 2014 - Last Update: May 1, 2014
We generalize the Kou (2002) double exponential jump-diffusion model in two directions. First, we independently displace the two tails of the jump size distribution away from the origin. Second, we allow for each of the displaced tails to follow a gamma distribution with an integer-valued shape...
Persistent link: https://www.econbiz.de/10011875854
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Implied volatility at expiration
Medvedev, Alexey N. - 2008
under a broad class of stochastic volatility models. Based on this formula, we propose a closed-form approximation of the … implied volatility smile. Numerical examples suggest that our approximation is accurate in the absence of mean-reversion in … stochastic volatility …
Persistent link: https://www.econbiz.de/10003961401