Not logged in.
Quick Search - Contribution
Contribution Details
| Type | Working Paper |
| Scope | Discipline-based scholarship |
| Title | What's Beneath the Surface? Option Pricing with Multifrequency Latent States |
| Organization Unit | |
| Authors |
|
| Language |
|
| Institution | University of Zurich |
| Series Name | HEC Paris Research Paper |
| Number | 969/2013 |
| Date | 2013 |
| Abstract Text | We introduce a tractable class of non-affine price processes with multifrequency stochastic volatility and jumps. The specications require few xed parameters and deliver fast option pricing. One key ingredient is a tight link between jumps and volatility regimes, as asset pricing theory suggests. Empirically, the model matches implied volatility surfaces and their dynamics without requiring parameter recalibration. A variety of metrics show improvements over traditional benchmarks in- and out-of-sample. |
| Free access at | Official URL |
| Official URL | http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2171734 |
| Digital Object Identifier | 10.1016/j.jeconom.2015.02.034 |
| Other Identification Number | merlin-id:8836 |
| PDF File |
Download from ZORA
|
| Export |
BibTeX
EP3 XML (ZORA)
|
| Keywords | Economics and Econometrics, Applied Mathematics |