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Option valuation with long-run and short-run volatility components☆ · Study

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ArticleOption valuation with long-run and short-run volatility components☆

Peter Christoffersen2008

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Articlegreen2008

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

Peter Christoffersen · Kris Jacobs · Chayawat Ornthanalai · Y WANG

307 citations·0/0 files stored·Journal of Financial Economics

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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 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1987Expected stock returns and volatility 2003Modeling and Forecasting Realized Volatility 1987The Pricing of Options on Assets with Stochastic Volatilities 1993Measuring and Testing the Impact of News on Volatility

Cited by

2013Capturing Option Anomalies with a Variance-Dependent Pricing Kernel 2009A component model for dynamic correlations 2012Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options 2010Returns of claims on the upside and the viability of U-shaped pricing kernels☆2016The price of variance risk 2016The volatility of a firm's assets and the leverage effect

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2008Option Valuation with Long-Run and Short-Run Volatility Componentspreprint · 46 shared references 2013GARCH Option Valuation:Theory and Evidencearticle · 31 shared references 2010Parametric and Nonparametric Volatility Measurementchapter · 27 shared references 2013Capturing Option Anomalies with a Variance-Dependent Pricing Kernelarticle · 27 shared references 2005Volatility Forecastingreport · 27 shared references 2006Chapter 15 Volatility and Correlation Forecastingchapter · 26 shared references

Details

Year2008

Typearticle

Published2008-10-08

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations307

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jfineco.2007.12.003

openalex_workW3124565417

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2014The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation

2012Realizing smiles: Options pricing with realized volatility