Arbeitspapier
Variance swap premium under stochastic volatility and self-exciting jumps
We introduce a stochastic volatility model with self-exciting jump intensity to capture the change in pricing dynamic triggered by big negative stock returns. The stochastic variance and jump intensity, and their risk premium are estimated jointly from daily stock returns and option data over 2007-2010. The model is calibrated to cumulants implied from option prices instead of option prices directly. We find evidence that the time varying jump intensity plays a very important role in the sub-prime crisis and explained most of the risk premium, while in other calmer periods, stochastic variance accounts for most of the risk premium.
- Sprache
-
Englisch
- Erschienen in
-
Series: Manchester Business School Working Paper ; No. 634
- Klassifikation
-
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
Contingent Pricing; Futures Pricing; option pricing
- Thema
-
Hawkes process
Volatility Surface
Volatility Risk Premium
Jump Risk Premium
Skew Premium
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Chen, Ke
Poon, Ser-Huang
- Ereignis
-
Veröffentlichung
- (wer)
-
The University of Manchester, Manchester Business School
- (wo)
-
Manchester
- (wann)
-
2013
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Chen, Ke
- Poon, Ser-Huang
- The University of Manchester, Manchester Business School
Entstanden
- 2013
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