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• W2465441225 abstract "Abstract This paper investigates the performance of time-changed Levy processes with distinct sources of return volatility variation for modeling cross-sectional option prices on the CAC40 index during the subprime crisis. Specifically, we propose a multi-factor stochastic volatility model: one factor captures the diffusion component dynamics and two factors capture positive and negative jump variations. In-sample and out-of-sample tests show that our full-fledged model significantly outperforms nested lower-dimensional specifications. We find that all three sources of return volatility variation, with different persistence, are needed to properly account for market pricing dynamics across moneyness, maturity and volatility level. Besides, the model estimation reveals negative risk premium for both diffusive volatility and downward jump intensity whereas a positive risk premium is found to be attributed to upward jump intensity." @default.
• W2465441225 created "2016-07-22" @default.
• W2465441225 creator A5037621755 @default.
• W2465441225 date "2016-12-01" @default.
• W2465441225 modified "2023-09-27" @default.
• W2465441225 title "On the source of stochastic volatility: Evidence from CAC40 index options during the subprime crisis" @default.
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• W2465441225 doi "https://doi.org/10.1016/j.physa.2016.06.136" @default.
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