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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...
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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.
Description: 1 online resource (48 pages).
Series Title: Staff Working Paper/Document de travail du personnel 2017-52.
Responsibility: Bruno Feunou.
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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.

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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. 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