Artikel
Equity option pricing with systematic and idiosyncratic volatility and jump risks
Recently, a large number of empirical studies indicated that individual equity options exhibit a strong factor structure. In this paper, the importance of systematic and idiosyncratic volatility and jump risks on individual equity option pricing is analyzed. First, we propose a new factor structure model for pricing the individual equity options with stochastic volatility and jumps, which takes into account four types of risks, i.e., the systematic diffusion, the idiosyncratic diffusion, the systematic jump, and the idiosyncratic jump. Second, we derive the closed-form solutions for the prices of both the market index and individual equity options by utilizing the Fourier inversion. Finally, empirical studies are carried out to show the superiority of our model based on the S&P 500 index and the stock of Apple Inc. on options. The out-of-sample pricing performance of our proposed model outperforms the other three benchmark models especially for short term and deep out-of-the-money options.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 13 ; Year: 2020 ; Issue: 1 ; Pages: 1-18 ; Basel: MDPI
- Klassifikation
-
Wirtschaft
- Thema
-
equity option pricing
factor models
jumps
stochastic volatility
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Li, Zhe
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2020
- DOI
-
doi:10.3390/jrfm13010016
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 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
- Artikel
Beteiligte
- Li, Zhe
- MDPI
Entstanden
- 2020
Ähnliche Objekte (12)
Ultra-multiplex PCR technique to guide treatment of Aspergillus -infected aortic valve prostheses
Quantitative Error Analysis on Polarimetric Phased Array Radar Weather Measurements to Reveal Radar Performance and Configuration Potential
Identifying influential spreaders by gravity model considering multi-characteristics of nodes
Cell therapy for severe burn wound healing
Development and implementation of digital pedagogical support systems in the context of educational equity
Independent technical directors and their effect on corporate innovation in China
Business and financial information integration and voluntary management earnings forecasts
Are all investment decisions to subscribe to new stocks mindless? Investor heterogeneity and behavior in the process of subscribing to new stocks
Ab initio calculation of real solids via neural network ansatz
Human cardiac fibroblasts produce pro-inflammatory cytokines upon TLRs and RLRs stimulation
The optimization method of wing plasma ice shape regulation based on quantitative assessment of flight risk
Observation of ionospheric disturbances induced by the 2011 Tohoku tsunami using far-field GPS data in Hawaii
Ultra-multiplex PCR technique to guide treatment of Aspergillus -infected aortic valve prostheses
Quantitative Error Analysis on Polarimetric Phased Array Radar Weather Measurements to Reveal Radar Performance and Configuration Potential
Identifying influential spreaders by gravity model considering multi-characteristics of nodes
Cell therapy for severe burn wound healing
Development and implementation of digital pedagogical support systems in the context of educational equity
Independent technical directors and their effect on corporate innovation in China
Business and financial information integration and voluntary management earnings forecasts
Are all investment decisions to subscribe to new stocks mindless? Investor heterogeneity and behavior in the process of subscribing to new stocks
Ab initio calculation of real solids via neural network ansatz
Human cardiac fibroblasts produce pro-inflammatory cytokines upon TLRs and RLRs stimulation
The optimization method of wing plasma ice shape regulation based on quantitative assessment of flight risk
Observation of ionospheric disturbances induced by the 2011 Tohoku tsunami using far-field GPS data in Hawaii
Ultra-multiplex PCR technique to guide treatment of Aspergillus -infected aortic valve prostheses
Quantitative Error Analysis on Polarimetric Phased Array Radar Weather Measurements to Reveal Radar Performance and Configuration Potential
Identifying influential spreaders by gravity model considering multi-characteristics of nodes
Cell therapy for severe burn wound healing
Development and implementation of digital pedagogical support systems in the context of educational equity
Independent technical directors and their effect on corporate innovation in China
Business and financial information integration and voluntary management earnings forecasts
Are all investment decisions to subscribe to new stocks mindless? Investor heterogeneity and behavior in the process of subscribing to new stocks
Ab initio calculation of real solids via neural network ansatz
Human cardiac fibroblasts produce pro-inflammatory cytokines upon TLRs and RLRs stimulation
The optimization method of wing plasma ice shape regulation based on quantitative assessment of flight risk