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• W2149187060 abstract "Characterizing asset return dynamics using volatility models is an important part of empirical finance. The existing literature favors some rather complex volatility specifications whose relative performance is usually assessed through their likelihood based on a time-series of asset returns. This paper compares a range of volatility models along a different dimension, using option prices and returns under the risk-neutral as well as the physical probability measure. We judge the relative performance of various models by evaluating an objective function based on option prices. In contrast with returns-based inference, we find that our option-based objective function favors a relatively parsimonious model. Specifically, when evaluated out-of-sample, our analysis favors a model that besides volatility clustering only allows for a standard leverage effect. This empirical analysis is part of a growing literature suggesting that discrete-time option pricing with time-varying volatility is practical and insightful. Caracteriser les dynamiques des rendements d'actifs a l'aide de modeles de volatilite est un champ important de la finance empirique. La litterature dans ce domaine privilegie des specifications de volatilite plutot complexes dont la performance relative est generalement estimee par leur vraisemblance a partir de series chronologiques de rendements d'actifs. Cet article compare plusieurs modeles de volatilite selon un critere different, utilisant les rendements et prix d'options dans une mesure neutre au risque et de probabilite physique. Nous estimons la performance relative des differents modeles en evaluant la fonction objective basee sur les prix d'options. Contrairement a l'inference basee sur les rendements, nous trouvons que notre fonction objective basee sur les options favorise un modele relativement parcimonieux. En particulier, lorsqu'elle est evaluee hors-echantillon, notre analyse favorise un modele qui, outre le groupement de volatilites, ne permet qu'un effet de levier standard. Cette analyse empirique fait partie d'une litterature en plein essor qui suggere que l'evaluation des prix d'options en temps discret, lorsque la volatilite varie dans le temps, est pratique et riche en enseignements." @default.
• W2149187060 created "2016-06-24" @default.
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• W2149187060 date "2002-04-01" @default.
• W2149187060 modified "2023-09-27" @default.
• W2149187060 title "Which Volatility Model for Option Valuation" @default.
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