IDEAS home Printed from https://ideas.repec.org/p/cfi/fseres/cf586.html
   My bibliography  Save this paper

Realised Volatility Moments Implied by Asset Options

Author

Listed:
  • Frido Rolloos

    (Independent)

  • Kenichiro Shiraya

    (University of Tokyo - Graduate School of Economics)

Abstract

For small values of correlation a method is given to de-correlate the instantaneous volatility from the price process in stochastic volatility models. The result of the de-correlation is that the implied volatility skew is rotated into a smile. Once the implied volatility skew has been ``symmetrised", moments of realised volatility are implied from the symmetrised asset option prices. The implied moments are subsequently used in a Gram-Charlier expansion of the density of realised volatility. The Gram-Charlier density provides approximate prices for options on realised volatility and other volatility derivatives. This paper is available at https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4840162

Suggested Citation

  • Frido Rolloos & Kenichiro Shiraya, 2024. "Realised Volatility Moments Implied by Asset Options," CARF F-Series CARF-F-586, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    • Handle: RePEc:cfi:fseres:cf586
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cfi:fseres:cf586. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: https://edirc.repec.org/data/catokjp.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.