Matches in SemOpenAlex for { <https://semopenalex.org/work/W1587324846> ?p ?o ?g. }
- W1587324846 abstract "This paper considers a financial market where the asset prices and the corresponding volatility are driven by a multidimensional mixture of Wiener shocks and Poisson jumps. While implied volatility is characterized by spikes, the existing models rely on the restrictive assumption of positive jumps in volatility. To overcome this inadequacy, the present paper introduces normally distributed jumps in the logvariance process. The model proposed is able to mimic empirically observed spikes in volatility and, consequently, improves upon the existing literature as it replicates the main features of both the stock return series and the corresponding option prices. After estimating the stock returns via the Efficient Method of Moments, the expression for the valuation of a plain vanilla European call option is derived, using the no-arbitrage argument. S&P500 option prices are used to assess quantitatively the empirical performance of the innovative features of the proposed model. The estimates indicate that spikes in volatility introduce a significant improvement in option pricing and provide evidence for stochastic jump risk premia." @default.
- W1587324846 created "2016-06-24" @default.
- W1587324846 creator A5034725282 @default.
- W1587324846 date "2007-05-01" @default.
- W1587324846 modified "2023-09-27" @default.
- W1587324846 title "Option Pricing and Spikes in Volatility: Theoretical and Empirical Analysis" @default.
- W1587324846 cites W1514815886 @default.
- W1587324846 cites W1816654404 @default.
- W1587324846 cites W1905538216 @default.
- W1587324846 cites W1978032414 @default.
- W1587324846 cites W1985018066 @default.
- W1587324846 cites W1985500221 @default.
- W1587324846 cites W1995522593 @default.
- W1587324846 cites W1998491684 @default.
- W1587324846 cites W2017297397 @default.
- W1587324846 cites W2020769838 @default.
- W1587324846 cites W2025006397 @default.
- W1587324846 cites W2025180282 @default.
- W1587324846 cites W2040425860 @default.
- W1587324846 cites W2041550349 @default.
- W1587324846 cites W2052635514 @default.
- W1587324846 cites W2054515856 @default.
- W1587324846 cites W2061339623 @default.
- W1587324846 cites W2064978316 @default.
- W1587324846 cites W2075679850 @default.
- W1587324846 cites W2077791698 @default.
- W1587324846 cites W2083685602 @default.
- W1587324846 cites W2086666793 @default.
- W1587324846 cites W2089861335 @default.
- W1587324846 cites W2120022309 @default.
- W1587324846 cites W2129220488 @default.
- W1587324846 cites W2133157852 @default.
- W1587324846 cites W2148080284 @default.
- W1587324846 cites W2151065060 @default.
- W1587324846 cites W2163191305 @default.
- W1587324846 cites W2163353962 @default.
- W1587324846 cites W2764917663 @default.
- W1587324846 cites W2905296953 @default.
- W1587324846 cites W3121574170 @default.
- W1587324846 cites W3122384970 @default.
- W1587324846 cites W3122541246 @default.
- W1587324846 cites W3122905337 @default.
- W1587324846 cites W3123321876 @default.
- W1587324846 cites W3125570672 @default.
- W1587324846 cites W3125666236 @default.
- W1587324846 cites W69337820 @default.
- W1587324846 cites W2087061940 @default.
- W1587324846 hasPublicationYear "2007" @default.
- W1587324846 type Work @default.
- W1587324846 sameAs 1587324846 @default.
- W1587324846 citedByCount "1" @default.
- W1587324846 crossrefType "posted-content" @default.
- W1587324846 hasAuthorship W1587324846A5034725282 @default.
- W1587324846 hasConcept C10138342 @default.
- W1587324846 hasConcept C106159729 @default.
- W1587324846 hasConcept C117996083 @default.
- W1587324846 hasConcept C121332964 @default.
- W1587324846 hasConcept C13290067 @default.
- W1587324846 hasConcept C149782125 @default.
- W1587324846 hasConcept C162324750 @default.
- W1587324846 hasConcept C186027771 @default.
- W1587324846 hasConcept C192620184 @default.
- W1587324846 hasConcept C194483076 @default.
- W1587324846 hasConcept C24189920 @default.
- W1587324846 hasConcept C2780695682 @default.
- W1587324846 hasConcept C62520636 @default.
- W1587324846 hasConcept C85393063 @default.
- W1587324846 hasConcept C91602232 @default.
- W1587324846 hasConceptScore W1587324846C10138342 @default.
- W1587324846 hasConceptScore W1587324846C106159729 @default.
- W1587324846 hasConceptScore W1587324846C117996083 @default.
- W1587324846 hasConceptScore W1587324846C121332964 @default.
- W1587324846 hasConceptScore W1587324846C13290067 @default.
- W1587324846 hasConceptScore W1587324846C149782125 @default.
- W1587324846 hasConceptScore W1587324846C162324750 @default.
- W1587324846 hasConceptScore W1587324846C186027771 @default.
- W1587324846 hasConceptScore W1587324846C192620184 @default.
- W1587324846 hasConceptScore W1587324846C194483076 @default.
- W1587324846 hasConceptScore W1587324846C24189920 @default.
- W1587324846 hasConceptScore W1587324846C2780695682 @default.
- W1587324846 hasConceptScore W1587324846C62520636 @default.
- W1587324846 hasConceptScore W1587324846C85393063 @default.
- W1587324846 hasConceptScore W1587324846C91602232 @default.
- W1587324846 hasLocation W15873248461 @default.
- W1587324846 hasOpenAccess W1587324846 @default.
- W1587324846 hasPrimaryLocation W15873248461 @default.
- W1587324846 hasRelatedWork W1778683340 @default.
- W1587324846 hasRelatedWork W180287977 @default.
- W1587324846 hasRelatedWork W2004977392 @default.
- W1587324846 hasRelatedWork W2030034478 @default.
- W1587324846 hasRelatedWork W2115719767 @default.
- W1587324846 hasRelatedWork W2142712849 @default.
- W1587324846 hasRelatedWork W2154340466 @default.
- W1587324846 hasRelatedWork W2157746606 @default.
- W1587324846 hasRelatedWork W2278922349 @default.
- W1587324846 hasRelatedWork W2478629528 @default.
- W1587324846 hasRelatedWork W2563808743 @default.
- W1587324846 hasRelatedWork W2682614850 @default.
- W1587324846 hasRelatedWork W3121367736 @default.
- W1587324846 hasRelatedWork W3121491581 @default.