skip to content
Good Volatility, Bad Volatility and Option Pricing Preview this item
ClosePreview this item
Checking...

Good Volatility, Bad Volatility and Option Pricing

Author: Bruno Feunou; Cédric Okou
Publisher: Ottawa, ON, CA : Bank of Canada, 2017. ©2017
Series: Staff Working Paper/Document de travail du personnel 2017-52.
Edition/Format:   eBook : Document : National government publication : EnglishView all editions and formats
Summary:
"Advances in variance analysis permit the splitting of the total quadratic variation of a jump diffusion process into upside and downside components. Recent studies establish that this decomposition enhances volatility predictions, and highlight the upside/downside variance spread as a driver of the asymmetry in stock price distributions. To appraise the economic gain of this decomposition, we design a new and  Read more...
Rating:

(not yet rated) 0 with reviews - Be the first.

Subjects
More like this

Find a copy online

Links to this item

Find a copy in the library

&AllPage.SpinnerRetrieving; Finding libraries that hold this item...

Details

Genre/Form: Electronic books
Material Type: Document, Government publication, National government publication, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Bruno Feunou; Cédric Okou
OCLC Number: 1017584781
Language Note: Text in English.
Notes: Issued as part of the desLibris documents collection.
Description: 1 online resource (48 pages).
Series Title: Staff Working Paper/Document de travail du personnel 2017-52.
Responsibility: Bruno Feunou.
More information:

Abstract:

"Advances in variance analysis permit the splitting of the total quadratic variation of a jump diffusion process into upside and downside components. Recent studies establish that this decomposition enhances volatility predictions, and highlight the upside/downside variance spread as a driver of the asymmetry in stock price distributions. To appraise the economic gain of this decomposition, we design a new and flexible option pricing model in which the underlying asset price exhibits distinct upside and downside semi-variance dynamics driven by their model-free proxies. The new model outperforms common benchmarks, especially the alternative that splits the quadratic variation into diffusive and jump components'--Abstract, p. ii.

Reviews

User-contributed reviews
Retrieving GoodReads reviews...
Retrieving DOGObooks reviews...

Tags

Be the first.
Confirm this request

You may have already requested this item. Please select Ok if you would like to proceed with this request anyway.

Linked Data


Primary Entity

<http://www.worldcat.org/oclc/1017584781> # Good Volatility, Bad Volatility and Option Pricing
    a schema:Book, schema:MediaObject, schema:CreativeWork ;
    library:oclcnum "1017584781" ;
    library:placeOfPublication <http://id.loc.gov/vocabulary/countries/onc> ;
    schema:about <http://experiment.worldcat.org/entity/work/data/4737523610#Topic/stock_quotations_econometric_models> ; # Stock quotations--Econometric models
    schema:about <http://experiment.worldcat.org/entity/work/data/4737523610#Topic/actions_titres_de_societe_cours_modeles_econometriques> ; # Actions (Titres de société)--Cours--Modèles économétriques
    schema:about <http://dewey.info/class/332.64/a15/> ;
    schema:author <http://experiment.worldcat.org/entity/work/data/4737523610#Person/feunou_bruno> ; # Bruno Feunou
    schema:author <http://experiment.worldcat.org/entity/work/data/4737523610#Person/okou_cedric> ; # Cédric Okou
    schema:bookFormat schema:EBook ;
    schema:datePublished "2017" ;
    schema:description ""Advances in variance analysis permit the splitting of the total quadratic variation of a jump diffusion process into upside and downside components. Recent studies establish that this decomposition enhances volatility predictions, and highlight the upside/downside variance spread as a driver of the asymmetry in stock price distributions. To appraise the economic gain of this decomposition, we design a new and flexible option pricing model in which the underlying asset price exhibits distinct upside and downside semi-variance dynamics driven by their model-free proxies. The new model outperforms common benchmarks, especially the alternative that splits the quadratic variation into diffusive and jump components'--Abstract, p. ii."@en ;
    schema:exampleOfWork <http://worldcat.org/entity/work/id/4737523610> ;
    schema:genre "National government publication"@en ;
    schema:genre "Government publication"@en ;
    schema:genre "Electronic books"@en ;
    schema:inLanguage "en" ;
    schema:isPartOf <http://experiment.worldcat.org/entity/work/data/4737523610#Series/> ; #
    schema:isPartOf <http://worldcat.org/issn/1701-9397> ; # Staff Working Paper/Document de travail du personnel 2017-52.
    schema:name "Good Volatility, Bad Volatility and Option Pricing"@en ;
    schema:productID "1017584781" ;
    schema:url <http://publications.gc.ca/collections/collection_2017/banque-bank-canada/FB3-5-2017-52-eng.pdf> ;
    schema:url <http://oaresource.library.carleton.ca/wcl/2018/20180119/FB3-5-2017-52-eng.pdf> ;
    schema:url <http://epe.lac-bac.gc.ca/100/201/301/weekly_acquisitions_list-ef/2017/17-50/publications.gc.ca/collections/collection_2017/banque-bank-canada/FB3-5-2017-52-eng.pdf> ;
    schema:url <http://deslibris.ca/ID/10094563> ;
    schema:url <https://ezproxy.kpu.ca:2443/login?url=http://www.deslibris.ca/ID/10094563> ;
    schema:url <https://ezproxy.kpu.ca:2443/login?url=http://publications.gc.ca/collections/collection_2017/banque-bank-canada/FB3-5-2017-52-eng.pdf> ;
    schema:url <http://www.deslibris.ca/ID/10094563> ;
    wdrs:describedby <http://www.worldcat.org/title/-/oclc/1017584781> ;
    .


Related Entities

<http://experiment.worldcat.org/entity/work/data/4737523610#Person/feunou_bruno> # Bruno Feunou
    a schema:Person ;
    schema:familyName "Feunou" ;
    schema:givenName "Bruno" ;
    schema:name "Bruno Feunou" ;
    .

<http://experiment.worldcat.org/entity/work/data/4737523610#Person/okou_cedric> # Cédric Okou
    a schema:Person ;
    schema:familyName "Okou" ;
    schema:givenName "Cédric" ;
    schema:name "Cédric Okou" ;
    .

<http://experiment.worldcat.org/entity/work/data/4737523610#Series/> #
    a bgn:PublicationSeries ;
    schema:hasPart <http://www.worldcat.org/oclc/1017584781> ; # Good Volatility, Bad Volatility and Option Pricing
    schema:name "" ;
    .

<http://experiment.worldcat.org/entity/work/data/4737523610#Topic/actions_titres_de_societe_cours_modeles_econometriques> # Actions (Titres de société)--Cours--Modèles économétriques
    a schema:Intangible ;
    schema:name "Actions (Titres de société)--Cours--Modèles économétriques"@fr ;
    .

<http://experiment.worldcat.org/entity/work/data/4737523610#Topic/stock_quotations_econometric_models> # Stock quotations--Econometric models
    a schema:Intangible ;
    schema:name "Stock quotations--Econometric models"@en ;
    .

<http://worldcat.org/issn/1701-9397> # Staff Working Paper/Document de travail du personnel 2017-52.
    a bgn:PublicationSeries ;
    schema:hasPart <http://www.worldcat.org/oclc/1017584781> ; # Good Volatility, Bad Volatility and Option Pricing
    schema:issn "1701-9397" ;
    schema:name "Staff Working Paper/Document de travail du personnel 2017-52." ;
    schema:name "Staff Working Paper/Document de travail du personnel 2017-52," ;
    .

<http://www.deslibris.ca/ID/10094563>
    rdfs:comment "For Subscription see www.canadianelectroniclibrary.ca" ;
    .

<https://ezproxy.kpu.ca:2443/login?url=http://www.deslibris.ca/ID/10094563>
    rdfs:comment "For Subscription see www.canadianelectroniclibrary.ca" ;
    .


Content-negotiable representations

Close Window

Please sign in to WorldCat 

Don't have an account? You can easily create a free account.