DC Field | Value | Language |
---|---|---|
dc.contributor.author | Byun, Suk-Joon | ko |
dc.contributor.author | Min, Byung-Sun | ko |
dc.date.accessioned | 2013-03-13T03:45:30Z | - |
dc.date.available | 2013-03-13T03:45:30Z | - |
dc.date.created | 2012-12-14 | - |
dc.date.created | 2012-12-14 | - |
dc.date.issued | 2013-01 | - |
dc.identifier.citation | JOURNAL OF FUTURES MARKETS, v.33, no.1, pp.1 - 28 | - |
dc.identifier.issn | 0270-7314 | - |
dc.identifier.uri | http://hdl.handle.net/10203/104395 | - |
dc.description.abstract | On the basis of the theory of a wedge between the physical and risk-neutral conditional volatilities in Christoffersen, P., Elkamhi, R., Feunou, B., & Jacobs, K. (2010), we develop a modification of the GARCH option pricing model with the filtered historical simulation proposed in Barone-Adesi, G., Engle, R. F., & Mancini, L. (2008). The one-day-ahead conditional volatilities under physical and risk-neutral measures are the same in the previous model, but should have been allowed to be different. Using extensive data on S&P 500 index options, our approach, which employs one-day-ahead risk-neutral conditional volatility estimated from the cross-section of the option prices (in contrast to the existing GARCH option pricing models), maintains theoretical consistency under conditional non-normality, and improves the empirical performances. Remarkably, the risk-neutral volatility dynamics are stable over time in this model. In addition, the comparison between the VIX index and the risk-neutral integrated volatility economically validates our approach. (c) 2011 Wiley Periodicals, Inc. Jrl Fut Mark 33:128, 2013 | - |
dc.language | English | - |
dc.publisher | WILEY-BLACKWELL | - |
dc.subject | RISK-AVERSION | - |
dc.subject | VALUATION | - |
dc.subject | BEHAVIOR | - |
dc.subject | PRICES | - |
dc.title | Conditional Volatility and the GARCH Option Pricing Model with Non-Normal Innovations | - |
dc.type | Article | - |
dc.identifier.wosid | 000310426500001 | - |
dc.identifier.scopusid | 2-s2.0-84867992885 | - |
dc.type.rims | ART | - |
dc.citation.volume | 33 | - |
dc.citation.issue | 1 | - |
dc.citation.beginningpage | 1 | - |
dc.citation.endingpage | 28 | - |
dc.citation.publicationname | JOURNAL OF FUTURES MARKETS | - |
dc.identifier.doi | 10.1002/fut.20551 | - |
dc.embargo.liftdate | 9999-12-31 | - |
dc.embargo.terms | 9999-12-31 | - |
dc.contributor.localauthor | Byun, Suk-Joon | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordPlus | RISK-AVERSION | - |
dc.subject.keywordPlus | VALUATION | - |
dc.subject.keywordPlus | BEHAVIOR | - |
dc.subject.keywordPlus | PRICES | - |
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