Four Essays in Volatility Estimation and Option Pricing PDF Download
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Author: 束景虹
Publisher:
ISBN:
Category : Options (Finance)
Languages : en
Pages : 278
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Author: 束景虹
Publisher:
ISBN:
Category : Options (Finance)
Languages : en
Pages : 278
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Author: Anand Mohan Vijh
Publisher:
ISBN:
Category :
Languages : en
Pages : 272
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Author: Yucheng Sun
Publisher:
ISBN:
Category :
Languages : en
Pages : 125
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Based on high-frequency price data, this thesis focuses on estimating the realized covariance and the integrated volatility of asset prices, and applying volatility estimation to price jump detection. The first chapter uses the LASSO procedure to regularize some estimators of high dimensional realized covariance matrices. We establish theoretical properties of the regularized estimators that show its estimation precision and the probability that they correctly reveal the network structure of the assets. The second chapter proposes a novel estimator of the integrated volatility which is the quadratic variation of the continuous part in the price process. This estimator is obtained by truncating the two-scales realized variance estimator. We show its consistency in the presence of market microstructure noise and finite or infinite activity jumps in the price process. The third chapter employs this estimator to design a test to explore the existence of price jumps with noisy price data.
Author: Shan Lu
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Shan Lu
Publisher:
ISBN:
Category : Finance
Languages : en
Pages : 0
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Chapter 4 compares six estimation methods for extracting risk-neutral densities (RND) from option prices. By using a pseudo-price based simulation, we find that the positive convolution approximation method provides the best performance, while mixture of two lognormals is the worst; In addition, we show that both price and volatility jumps are important components for option pricing. Our results have practical applications for policymakers as RNDs are important indicators to gauge market sentiment and expectations.
Author: Robert A. Jarrow
Publisher:
ISBN:
Category : Derivative securities
Languages : en
Pages : 472
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Written by a number of authors, this text is aimed at market practitioners and applies the latest stochastic volatility research findings to the analysis of stock prices. It includes commentary and analysis based on real-life situations.
Author: Mathieu Fournier
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Jian Zou
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ISBN:
Category :
Languages : en
Pages : 0
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Author: Ilze Kalnina
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ISBN:
Category :
Languages : en
Pages :
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Author: İnanç Kırgız
Publisher:
ISBN:
Category : Financial futures
Languages : en
Pages : 200
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