- University of Bologna
Wednesday, March 2, 2016
Polo Santa Marta, Via Cantarane 24, Stanza 1.59
During the talk I discuss a very general and fully analytical option pricing framework, encompassing a wide class of discrete time models featuring multiple component structure in both volatility and leverage, and a flexible pricing kernel with multiple risk premia. The proposed framework is general enough to include either GARCH-type volatility, Realized Volatility or a combination of the two. It also provides new way of separately estimate risk premia by coherently combining high-frequency returns and option data in multi-factor pricing models. I present an overview of various results attained within the novel framework. Specifically, I consider improvements in pricing out-of-the-money options, ability to generate a realistic hump-shaped term structure of variance swap rates, and evidence of strong predictability on future stock index returns.
Joint work with Dario Alitab, Fulvio Corsi, and Adam Majewski.
- Programme Director
- Publication date
February 1, 2016