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Recent research has documented a rise in the volatility of individual labor earnings in the United States since 1970. Existing measures of this trend abstract from within-group latent heterogeneity, e...
On Implied Volatility for Options – Some Reasons to Smile and More to Correct
Bias correction Implied volatility,Kernel estimator Pricing errors
2016/1/25
We analyze the properties of the implied volatility, the commonly used volatility estimator by direct option price inversion. It is found that the implied volatility is subject to a systematic bias in...
Bessel Processes, Stochastic Volatility, and Timer Options
Bessel Processes Stochastic Volatility Timer Options
2016/1/25
Motivated by analytical valuation of timer options (an important innovation in realized variance based derivatives), we explore their novel mathematical connection with stochastic volatility and Besse...
On Implied Volatility for Options – Some Reasons to Smile and More to Correct
Bias correction Implied volatility Kernel estimator Pricing errors
2016/1/20
We analyze the properties of the implied volatility, the commonly used volatility estimator by direct option price inversion. It is found that the implied volatility is subject to a systematic bias in...
Bessel Processes, Stochastic Volatility, and Timer Options
Bessel Processes Stochastic Volatility Timer Options
2016/1/20
Motivated by analytical valuation of timer options (an important innovation in realized variance based derivatives), we explore their novel mathematical connection with stochastic volatility and Besse...
Price volatility spillovers among agricultural commodity and crude oil markets: Evidence from the range-based estimator
agricultural commodity market financial crisis of 2008–2009 futures markets historical price volatility intra-day data
2015/6/8
The paper examines the price volatility spillovers among the crude oil, soybeans, corn, wheat, and sugar futures markets over the period 1/1/2006–11/29/2013. We separately investigate the periods of t...
Moment based estimation of supOU processes and a related stochastic volatility model
generalized method of moments Ornstein-Uhlenbeck type process L
2013/6/14
After a quick review of superpositions of OU (supOU) processes, integrated supOU processes and the supOU SV model we estimate these processes by using the generalized method of moments. We show that t...
Volatility Inference in the Presence of Both Endogenous Time and Microstructure Noise
It^o Process Realized Volatility Integrated Volatility Time Endogeneity Market Microstructure Noise
2013/5/2
In this article we consider the volatility inference in the presence of both market microstructure noise and endogenous time. Estimators of the integrated volatility in such a setting are proposed, an...
Volatility and stabilization of the price of coffee and cocoa in C魌e d扞voire
farm gate price international price price fluctuation buffer stock cocoa and coffee markets
2014/2/24
The aim of this paper was to study the coffee and cocoa price volatility in C魌e d扞voire and to understand the mechanism of price stabilization. Thus, this paper shows that the international prices and...
Volatility Analysis of Web News and Public Attitude by GARCH Model
Web News Public Attitude Volatility Analysis GARCH Model
2013/2/20
GARCH (Generalized Auto-Regressive Conditional Heteroskedasticity) model proposed by Professor Engle is successful to analyze the volatility of stock price. In this paper GARCH model is used to analyz...
Quarticity and other functionals of volatility: efficient estimation
semimartingale high frequency data volatility estimation central limit theo-rem efficient estimation
2012/9/19
We consider a multidimensional It坥 semimartingale regularly sampled on [0,t] at high frequency 1/∆n, with ∆n going to zero. The goal of this paper is to provide an estimator for the integr...
New solvable stochastic volatility models for pricing volatility derivatives
New solvable stochastic volatility models pricing volatility derivatives Pricing of Securities
2012/6/5
Classical solvable stochastic volatility models (SVM) use a CEV process for instantaneous variance where the CEV parameter $\gamma$ takes just few values: 0 - the Ornstein-Uhlenbeck process, 1/2 - the...
Exponential Levy models with stochastic volatility and stochastic jump-intensity
spectral theory normal operator Levy process stochastic volatility stochastic jump-intensity
2012/6/4
We consider the problem of valuing a European option written on an asset whose dynamics are described by an exponential L\'evy-type model. Both the volatility and jump-intensity of the L\'evy process ...
Arbitrage-free SVI volatility surfaces
Arbitrage-free SVI volatility surfaces Pricing of Securities
2012/4/28
In this article, we show how to calibrate the widely-used SVI parameterization of the implied volatility surface in such a way as to guarantee the absence of static arbitrage. In particular, we exhibi...
Local Volatility Pricing Models for Long-dated FX Derivatives
Local volatility Stochastic volatility Foreign Exchange Stochastic interest rates Calibration
2012/4/28
We study the local volatility function in the Foreign Exchange market where both domestic and foreign interest rates are stochastic. This model is suitable to price long-dated FX derivatives. We deriv...