Rough Volatility: Evidence from Option Prices
نویسندگان
چکیده
منابع مشابه
Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices
This paper examines the empirical performance of jump diffusion models of stock price dynamics from joint options and stock markets data. The paper introduces a model with discontinuous correlated jumps in stock prices and stock price volatility, and with state dependent arrival intensity. We discuss how to perform likelihood-based inference based upon joint options/returns data and present est...
متن کاملDo Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices
This paper studies the empirical performance of jump-di usion models that allow for stochastic volatility and correlated jumps a ecting both prices and volatility. We propose a simulation method for conducting likelihood based inference from a panel of options data, as well as returns data simultaneously. Empirical results from S&P 500 returns/options di er from the current literature in severa...
متن کاملRecovering a Piecewise Constant Volatility from Perpetual Put Option Prices
In this paper we present a method to recover a time-homogeneous piecewise constant volatility from a finite set of perpetual put option prices. The whole calculation process of the volatility is decomposed into easy computations in many fixed disjoint intervals. In each interval, the volatility is obtained by solving a system of nonlinear equations.
متن کاملVolatility Time and Properties of Option Prices
We use a notion of stochastic time, here called volatility time, to show convexity of option prices in the underlying asset if the contract function is convex as well as continuity and monotonicity of the option price in the volatility. The volatility time is obtained as the almost surely unique stopping time solution to a random ordinary differential equation related to volatility. This enable...
متن کاملHeterogeneous Beliefs, Option Prices, and Volatility Smiles∗
In an economy in which investors with different time preferences have heterogeneous beliefs about a dividend’s mean growth rate, the volatility of the stock that claims the dividend is stochastic in equilibrium. The prices of the vanilla European options that are written on this stock admit closed-form solutions, hence their hedging deltas. The implied volatility surface exhibits the observed p...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2017
ISSN: 1556-5068
DOI: 10.2139/ssrn.2914086