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The dynamics of stochastic volatility: evidence from underlying and options markets · Study

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ArticleThe dynamics of stochastic volatility: evidence from underlying and options markets

Unknown author2003

Article2003

The dynamics of stochastic volatility: evidence from underlying and options markets

Unknown author

504 citations·0/0 files stored·Journal of Econometrics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1973The Pricing of Options and Corporate Liabilities 1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 2007Brownian Motion and Stochastic Calculus 1999Continuous Martingales and Brownian Motion 1987Stochastic Differential Equations: An Introduction with Applications.

Cited by

2010Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities 2013Market Skewness Risk and the Cross Section of Stock Returns 2006CAPM over the long run: 1926–2001 2003The importance of the loss function in option valuation 2003Empirical option pricing: a retrospection 2010

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Details

Year2003

Typearticle

Published2003-04-07

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations504

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/s0304-4076(03)00107-6

openalex_workW2138349601

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Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices

2013Capturing Option Anomalies with a Variance-Dependent Pricing Kernel

2008Option valuation with long-run and short-run volatility components☆