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- W1608322455 abstract "Is the pricing of index and individual stock options consistent with a factor of stock returns? To answer this question, we use returns and option prices for a cross-section of stocks and a index to carry out an integrated estimation of a multivariate stochastic volatility models with systematic factors and idiosyncratic return components. In particular, we estimate both the objective and risk neutral (RN) dynamics of the using particle filter techniques. For a one-factor market model of stock returns we find that 1) the (S&P 500) betas of individual stocks are similar under the objective and RN measures, 2) there is a statistically and economically important common factor in the volatility of idiosyncratic returns, 3) the factor loadings of individual stocks on this common component of idiosyncratic volatility are also similar under the objective and RN measures, and 4) both and common idiosyncratic volatility appear to be priced in option prices." @default.
- W1608322455 created "2016-06-24" @default.
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- W1608322455 date "2008-01-01" @default.
- W1608322455 modified "2023-09-27" @default.
- W1608322455 title "Cross-Sectional Stock Option Pricing and Factor Models of Returns" @default.
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- W1608322455 doi "https://doi.org/10.2139/ssrn.1102513" @default.
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