Volatility Models In Option Pricing With Empirical Analysis In The Chinese Market

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Volatility Models in Option Pricing with Empirical Analysis in The Chinese Market

Author : Jun Yue
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (139 download)

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Book Synopsis Volatility Models in Option Pricing with Empirical Analysis in The Chinese Market by : Jun Yue

Download or read book Volatility Models in Option Pricing with Empirical Analysis in The Chinese Market written by Jun Yue and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Nowadays, financial derivatives play an increasingly important role in the global financial system, and options are popular structural financial derivatives, which attract much attention from academia and the industry. China Financial Futures Exchange (CFFEX) initiated the CSI 1000 index future and CSI 1000 index option in the Chinese market on July 22, 2022, which indicates a trend of acceleration in financial innovations in China's financial market. This dissertation focuses on the volatility models in option pricing and modern numerical procedures that approximate option prices. In this dissertation, different stochastic volatility models, for example, the Black-Scholes model and the Heston stochastic volatility model, are introduced and applied to price in not only European options but also exotic options, which possess complicated payoff structures. Moreover, a comprehensive empirical analysis is conducted to demonstrate these option pricing algorithms based on the recent data of CSI 1000 index options in the Chinese market.

An Empirical Analysis of Jump Diffusion Stochastic Volatility Models for Currency Option Pricing

Author : Lei Zhang
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (793 download)

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Book Synopsis An Empirical Analysis of Jump Diffusion Stochastic Volatility Models for Currency Option Pricing by : Lei Zhang

Download or read book An Empirical Analysis of Jump Diffusion Stochastic Volatility Models for Currency Option Pricing written by Lei Zhang and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Empirical Performance of Option Pricing Models with Stochastic Local Volatility

Author : Greg Orosi
Publisher :
ISBN 13 :
Total Pages : 16 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Empirical Performance of Option Pricing Models with Stochastic Local Volatility by : Greg Orosi

Download or read book Empirical Performance of Option Pricing Models with Stochastic Local Volatility written by Greg Orosi and published by . This book was released on 2014 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the empirical performance of several stochastic local volatility models that are the extensions of the Heston stochastic volatility model. Our results indicate that the stochastic volatility model with quadratic local volatility significantly outperforms the stochastic volatility model with CEV type local volatility. Moreover, we compare the performance of these models to several other benchmarks and find that the quadratic local volatility model compares well to the best performing option pricing models reported in the current literature for European-style S&P500 index options. Our results also indicate that the model with quadratic local volatility reproduces the characteristics of the implied volatility surface more accurately than the Heston model. Finally, we demonstrate that capturing the shape of the implied volatility surface is necessary to price binary options accurately.

Empirical Performance Study of Alternative Option Pricing Models

Author : Sofiane Aboura
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Empirical Performance Study of Alternative Option Pricing Models by : Sofiane Aboura

Download or read book Empirical Performance Study of Alternative Option Pricing Models written by Sofiane Aboura and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The mispricing of the deep-in-the money and deep-out-the-money generated by the Black-Scholes (1973) model is now well documented in the literature. In this paper, we discuss different option valuation models on the basis of empirical tests carry out on the French option market. We examine methods that account for non-normal skewness and kurtosis, relax the martingale restriction, mix two log-normal distributions, and allows either for jump diffusion process or for stochastic volatility. We find that the use of a jump diffusion and stochastic volatility model performs as well as the inclusion of non normal skewness and kurtosis in terms of precision in the option valuation.Keywords : Implied Volatility, Stochastic Volatility Model, Jump Diffusion Model, Skewness, Kurtosis.

An Empirical Comparison of Alternative Stochastic Volatility Option Pricing Models

Author : Tiezhu Gao
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (11 download)

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Book Synopsis An Empirical Comparison of Alternative Stochastic Volatility Option Pricing Models by : Tiezhu Gao

Download or read book An Empirical Comparison of Alternative Stochastic Volatility Option Pricing Models written by Tiezhu Gao and published by . This book was released on 2006 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this thesis, I empirically compare the pricing performance of three classes of stochastic volatility option pricing models and the traditional Black-Scholes (1973) model in the pricing of S & P Canada 60 Index Options. The stochastic volatility models that I study are as follows: (1) the ad hoc Black and Scholes (1973) procedure that fits the implied volatility surface, (2) Madan et al.'s (1998) variance gamma model, and (3) Heston's (1993) continuous-time stochastic volatility model. I find that Heston's continuous-time stochastic volatility model outperforms the other models in terms of in-sample pricing and out-of-sample pricing. Second, the addition of the stochastic volatility term to the stochastic volatility model and variance gamma model does not resolve the "volatility smiles" effects, but it reduces the effects. Third, the Black-Scholes model performs adequately in pricing options, with the advantage of simplicity, although it suffers from the shortcoming of the "volatility smiles" effect. Finally, although it includes more parameters, the ad hoc Black and Scholes model does not perform as well as expected.

Derivatives in Financial Markets with Stochastic Volatility

Author : Jean-Pierre Fouque
Publisher : Cambridge University Press
ISBN 13 : 9780521791632
Total Pages : 222 pages
Book Rating : 4.7/5 (916 download)

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Book Synopsis Derivatives in Financial Markets with Stochastic Volatility by : Jean-Pierre Fouque

Download or read book Derivatives in Financial Markets with Stochastic Volatility written by Jean-Pierre Fouque and published by Cambridge University Press. This book was released on 2000-07-03 with total page 222 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book, first published in 2000, addresses pricing and hedging derivative securities in uncertain and changing market volatility.

Empirical Study of Stochastic Volatility Option Pricing Model: in the Case of LIFFE Equity Options

Author : Mi Zhou
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (643 download)

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Book Synopsis Empirical Study of Stochastic Volatility Option Pricing Model: in the Case of LIFFE Equity Options by : Mi Zhou

Download or read book Empirical Study of Stochastic Volatility Option Pricing Model: in the Case of LIFFE Equity Options written by Mi Zhou and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Analysing Intraday Implied Volatility for Pricing Currency Options

Author : Thi Le
Publisher : Springer Nature
ISBN 13 : 3030712427
Total Pages : 350 pages
Book Rating : 4.0/5 (37 download)

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Book Synopsis Analysing Intraday Implied Volatility for Pricing Currency Options by : Thi Le

Download or read book Analysing Intraday Implied Volatility for Pricing Currency Options written by Thi Le and published by Springer Nature. This book was released on 2021-04-13 with total page 350 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book focuses on the impact of high-frequency data in forecasting market volatility and options price. New technologies have created opportunities to obtain better, faster, and more efficient datasets to explore financial market phenomena at the most acceptable data levels. It provides reliable intraday data supporting financial investment decisions across different assets classes and instruments consisting of commodities, derivatives, equities, fixed income and foreign exchange. This book emphasises four key areas, (1) estimating intraday implied volatility using ultra-high frequency (5-minutes frequency) currency options to capture traders' trading behaviour, (2) computing realised volatility based on 5-minute frequency currency price to obtain speculators' speculation attitude, (3) examining the ability of implied volatility to subsume market information through forecasting realised volatility and (4) evaluating the predictive power of implied volatility for pricing currency options. This is a must-read for academics and professionals who want to improve their skills and outcomes in trading options.

A Stochastic Volatility Model with Realized Measures for Option Pricing

Author : Giacomo Bormetti
Publisher :
ISBN 13 :
Total Pages : 86 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis A Stochastic Volatility Model with Realized Measures for Option Pricing by : Giacomo Bormetti

Download or read book A Stochastic Volatility Model with Realized Measures for Option Pricing written by Giacomo Bormetti and published by . This book was released on 2019 with total page 86 pages. Available in PDF, EPUB and Kindle. Book excerpt: Based on the fact that realized measures of volatility are affected by measurement errors, we introduce a new family of discrete-time stochastic volatility models having two measurement equations relating both observed returns and realized measures to the latent conditional variance. A semi-analytical option pricing framework is developed for this class of models. In addition, we provide analytical filtering and smoothing recursions for the basic specification of the model, and an effective MCMC algorithm for its richer variants. The empirical analysis shows the effectiveness of filtering and smoothing realized measures in inflating the latent volatility persistence - the crucial parameter in pricing Standard and Poor's 500 Index options.

Proceedings of the 2022 2nd International Conference on Financial Management and Economic Transition (FMET 2022)

Author : Vilas Gaikar
Publisher : Springer Nature
ISBN 13 : 946463054X
Total Pages : 830 pages
Book Rating : 4.4/5 (646 download)

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Book Synopsis Proceedings of the 2022 2nd International Conference on Financial Management and Economic Transition (FMET 2022) by : Vilas Gaikar

Download or read book Proceedings of the 2022 2nd International Conference on Financial Management and Economic Transition (FMET 2022) written by Vilas Gaikar and published by Springer Nature. This book was released on 2023-02-10 with total page 830 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is an open access book. As a leading role in the global megatrend of scientific innovation, China has been creating a more and more open environment for scientific innovation, increasing the depth and breadth of academic cooperation, and building a community of innovation that benefits all. Such endeavors are making new contributions to the globalization and creating a community of shared future. FMET is to bring together innovative academics and industrial experts in the field of Financial Management and Economic to a common forum. We will discuss and study about Financial marketing, Corporate finance, Management and administration of commercial Banks, International trade theory and practice, Economy and foreign economic management, Economic information management and other fields. FMET 2022 also aims to provide a platform for experts, scholars, engineers, technicians and technical R & D personnel to share scientific research achievements and cutting-edge technologies, understand academic development trends, expand research ideas, strengthen academic research and discussion, and promote the industrialization cooperation of academic achievements. To adapt to this changing world and China's fast development in the new era, 2022 2nd International Conference on Financial Management and Economic Transition to be held in August 2022. This conference takes "bringing together global wisdom in scientific innovation to promote high-quality development" as the theme and focuses on cutting-edge research fields including Financial Management and Economic Transition. FMET 2022 encourages the exchange of information at the forefront of research in different fields, connects the most advanced academic resources in China and the world, transforms research results into industrial solutions, and brings together talent, technology and capital to drive development. The conference sincerely invites experts, scholars, business people and other relevant personnel from universities, scientific research institutions at home and abroad to attend and exchange!

Empirical Asset Pricing

Author : Wayne Ferson
Publisher : MIT Press
ISBN 13 : 0262039370
Total Pages : 497 pages
Book Rating : 4.2/5 (62 download)

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Book Synopsis Empirical Asset Pricing by : Wayne Ferson

Download or read book Empirical Asset Pricing written by Wayne Ferson and published by MIT Press. This book was released on 2019-03-12 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.

Which Volatility Model Should Be Used for Option Pricing?

Author : Kris Jacobs
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Which Volatility Model Should Be Used for Option Pricing? by : Kris Jacobs

Download or read book Which Volatility Model Should Be Used for Option Pricing? written by Kris Jacobs and published by . This book was released on 2002 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: Characterizing asset return dynamics using GARCH 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 GARCH models along a different dimension, using option prices and returns, under the risk-neutral as well as the objective probability measure. We judge the relative performance of various models by evaluating an objective function based on option prices. In contrast with likelihood-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. Our results may also have important implications for the literature on continuous-time stochastic volatility models.

Extracting Market Expectations from Traded Option Prices: an Empirical Test of the Stochastic Volatility Model on FTSE 100 Index Options

Download Extracting Market Expectations from Traded Option Prices: an Empirical Test of the Stochastic Volatility Model on FTSE 100 Index Options PDF Online Free

Author : Christos Christitsas
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (642 download)

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Book Synopsis Extracting Market Expectations from Traded Option Prices: an Empirical Test of the Stochastic Volatility Model on FTSE 100 Index Options by : Christos Christitsas

Download or read book Extracting Market Expectations from Traded Option Prices: an Empirical Test of the Stochastic Volatility Model on FTSE 100 Index Options written by Christos Christitsas and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Construction and Interpretation of Model-free Implied Volatility

Author : Torben G. Andersen
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.0/5 ( download)

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Book Synopsis Construction and Interpretation of Model-free Implied Volatility by : Torben G. Andersen

Download or read book Construction and Interpretation of Model-free Implied Volatility written by Torben G. Andersen and published by . This book was released on 2007 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: The notion of model-free implied volatility (MFIV), constituting the basis for the highly publicized VIX volatility index, can be hard to measure with accuracy due to the lack of precise prices for options with strikes in the tails of the return distribution. This is reflected in practice as the VIX index is computed through a tail-truncation which renders it more compatible with the related concept of corridor implied volatility (CIV). We provide a comprehensive derivation of the CIV measure and relate it to MFIV under general assumptions. In addition, we price the various volatility contracts, and hence estimate the corresponding volatility measures, under the standard Black-Scholes model. Finally, we undertake the first empirical exploration of the CIV measures in the literature. Our results indicate that the measure can help us refine and systematize the information embedded in the derivatives markets. As such, the CIV measure may serve as a tool to facilitate empirical analysis of both volatility forecasting and volatility risk pricing across distinct future states of the world for diverse asset categories and time horizons.

A Study On Volatility And Co-Movement Of Selected Sectoral Indices Of National Stock Exchange Of India

Author : Dr GangineniDhanaiah
Publisher : Archers & Elevators Publishing House
ISBN 13 : 9386501899
Total Pages : pages
Book Rating : 4.3/5 (865 download)

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Book Synopsis A Study On Volatility And Co-Movement Of Selected Sectoral Indices Of National Stock Exchange Of India by : Dr GangineniDhanaiah

Download or read book A Study On Volatility And Co-Movement Of Selected Sectoral Indices Of National Stock Exchange Of India written by Dr GangineniDhanaiah and published by Archers & Elevators Publishing House. This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Essays on Empirical Performance of Affine Jump-diffusion Option Pricing Models

Author : Xiang Zhang
Publisher :
ISBN 13 :
Total Pages : 612 pages
Book Rating : 4.:/5 (863 download)

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Book Synopsis Essays on Empirical Performance of Affine Jump-diffusion Option Pricing Models by : Xiang Zhang

Download or read book Essays on Empirical Performance of Affine Jump-diffusion Option Pricing Models written by Xiang Zhang and published by . This book was released on 2012 with total page 612 pages. Available in PDF, EPUB and Kindle. Book excerpt:

The Stochastic Behavior of Market Volatility Implied in the Prices of Index Options and a Test of Market Efficiency

Author : Changhyon Cho
Publisher :
ISBN 13 :
Total Pages : 360 pages
Book Rating : 4.:/5 (426 download)

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Book Synopsis The Stochastic Behavior of Market Volatility Implied in the Prices of Index Options and a Test of Market Efficiency by : Changhyon Cho

Download or read book The Stochastic Behavior of Market Volatility Implied in the Prices of Index Options and a Test of Market Efficiency written by Changhyon Cho and published by . This book was released on 1996 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: