Calibration of the Hobson&Rogers model: empirical tests
Author
Abstract
Suggested Citation
Note: Type of Document - pdf; pages: 26
Download full text from publisher
References listed on IDEAS
- Sundaresan, S.M., 2000. "Continuous-Time Methods in Finance: A Review and an Assessment," Papers 00-03, Columbia - Graduate School of Business.
- Andrea Pascucci & Marco Di Francesco, 2005. "On the complete model with stochastic volatility by Hobson and Rogers," Finance 0503013, University Library of Munich, Germany.
- Carl Chiarella & Oh-Kang Kwon, 2000. "A Complete Stochastic Volatility Model in the HJM Framework," Research Paper Series 43, Quantitative Finance Research Centre, University of Technology, Sydney.
- David G. Hobson & L. C. G. Rogers, 1998. "Complete Models with Stochastic Volatility," Mathematical Finance, Wiley Blackwell, vol. 8(1), pages 27-48, January.
- René Garcia & Eric Ghysels & Eric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO.
- Mark Broadie & Mikhail Chernov & Michael Johannes, 2007. "Model Specification and Risk Premia: Evidence from Futures Options," Journal of Finance, American Finance Association, vol. 62(3), pages 1453-1490, June.
- Bates, David S., 2000. "Post-'87 crash fears in the S&P 500 futures option market," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 181-238.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Sekine, Jun, 2008. "Marginal distribution of some path-dependent stochastic volatility model," Statistics & Probability Letters, Elsevier, vol. 78(13), pages 1846-1850, September.
- Fabio Antonelli & Valentina Prezioso, 2008. "Rate Of Convergence Of Monte Carlo Simulations For The Hobson–Rogers Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(08), pages 889-904.
- Reiichiro Kawai, 2009. "Sensitivity Analysis And Density Estimation For The Hobson-Rogers Stochastic Volatility Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(03), pages 283-295.
- Paolo Foschi & Andrea Pascucci, 2008.
"Path dependent volatility,"
Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 31(1), pages 13-32, May.
- Pascucci, Andrea & Foschi, Paolo, 2006. "Path dependent volatility," MPRA Paper 973, University Library of Munich, Germany.
- Jun Sekine, 2008. "A Note On The Risk-Premium Process In An Equilibrium," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(07), pages 705-716.
- Olesia Verchenko, 2011. "Testing option pricing models: complete and incomplete markets," Discussion Papers 38, Kyiv School of Economics.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Foschi, Paolo & Pascucci, Andrea, 2009. "Calibration of a path-dependent volatility model: Empirical tests," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2219-2235, April.
- Henri Bertholon & Alain Monfort & Fulvio Pegoraro, 2006.
"Pricing and Inference with Mixtures of Conditionally Normal Processes,"
Working Papers
2006-28, Center for Research in Economics and Statistics.
- Bertholon, H. & Monfort, A. & Pegoraro, F., 2007. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working papers 188, Banque de France.
- Paolo Foschi & Andrea Pascucci, 2008.
"Path dependent volatility,"
Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 31(1), pages 13-32, May.
- Pascucci, Andrea & Foschi, Paolo, 2006. "Path dependent volatility," MPRA Paper 973, University Library of Munich, Germany.
- Sang Byung Seo & Jessica A. Wachter, 2019. "Option Prices in a Model with Stochastic Disaster Risk," Management Science, INFORMS, vol. 65(8), pages 3449-3469, August.
- Yun, Jaeho, 2014. "Out-of-sample density forecasts with affine jump diffusion models," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 74-87.
- Maneesoonthorn, Worapree & Martin, Gael M. & Forbes, Catherine S. & Grose, Simone D., 2012.
"Probabilistic forecasts of volatility and its risk premia,"
Journal of Econometrics, Elsevier, vol. 171(2), pages 217-236.
- Worapree Maneesoonthorn & Gael M. Martin & Catherine S. Forbes & Simone Grose, 2010. "Probabilistic Forecasts of Volatility and its Risk Premia," Monash Econometrics and Business Statistics Working Papers 22/10, Monash University, Department of Econometrics and Business Statistics.
- Diego Amaya & Jean-François Bégin & Geneviève Gauthier, 2022. "The Informational Content of High-Frequency Option Prices," Management Science, INFORMS, vol. 68(3), pages 2166-2201, March.
- H. Bertholon & A. Monfort & F. Pegoraro, 2008.
"Econometric Asset Pricing Modelling,"
Journal of Financial Econometrics, Oxford University Press, vol. 6(4), pages 407-458, Fall.
- Henri Bertholon & Alain Monfort & Fulvio Pegoraro, 2007. "Econometric Asset Pricing Modelling," Working Papers 2007-18, Center for Research in Economics and Statistics.
- Bertholon, H. & Monfort, A. & Pegoraro, F., 2008. "Econometric Asset Pricing Modelling," Working papers 223, Banque de France.
- Sekine, Jun, 2008. "Marginal distribution of some path-dependent stochastic volatility model," Statistics & Probability Letters, Elsevier, vol. 78(13), pages 1846-1850, September.
- Dario Alitab & Giacomo Bormetti & Fulvio Corsi & Adam A. Majewski, 2019. "A realized volatility approach to option pricing with continuous and jump variance components," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 639-664, December.
- Bardgett, Chris & Gourier, Elise & Leippold, Markus, 2019.
"Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets,"
Journal of Financial Economics, Elsevier, vol. 131(3), pages 593-618.
- Chris Bardgett & Elise Gourier & Markus Leippold, 2013. "Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX Markets," Swiss Finance Institute Research Paper Series 13-40, Swiss Finance Institute, revised Dec 2016.
- Chris Bardgett & Elise Gourier & Markus Leippold, 2016. "Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX markets," Working Papers 780, Queen Mary University of London, School of Economics and Finance.
- Glasserman, Paul & Kim, Kyoung-Kuk, 2009. "Saddlepoint approximations for affine jump-diffusion models," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 15-36, January.
- Li, Chenxu & Chen, Dachuan, 2016. "Estimating jump–diffusions using closed-form likelihood expansions," Journal of Econometrics, Elsevier, vol. 195(1), pages 51-70.
- Chang, Bo Young & Christoffersen, Peter & Jacobs, Kris, 2013.
"Market skewness risk and the cross section of stock returns,"
Journal of Financial Economics, Elsevier, vol. 107(1), pages 46-68.
- Chang, Bo Young & Christoffersen, Peter & Jacobs, Kris, 2010. "Market Skewness Risk and the Cross-Section of Stock Returns," Working Papers 11-18, University of Pennsylvania, Wharton School, Weiss Center.
- Nicolae Garleanu & Lasse Heje Pedersen & Allen M. Poteshman, 2009.
"Demand-Based Option Pricing,"
The Review of Financial Studies, Society for Financial Studies, vol. 22(10), pages 4259-4299, October.
- Pedersen, Lasse Heje & Garleanu, Nicolae Bogdan & ,, 2005. "Demand-Based Option Pricing," CEPR Discussion Papers 5420, C.E.P.R. Discussion Papers.
- Nicolae Garleanu & Lasse Heje Pedersen & Allen M. Poteshman, 2005. "Demand-Based Option Pricing," NBER Working Papers 11843, National Bureau of Economic Research, Inc.
- Mauro Rosestolato & Tiziano Vargiolu & Giovanna Villani, 2013. "Robustness for path-dependent volatility models," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 36(2), pages 137-167, November.
- Byun, Suk Joon & Jeon, Byoung Hyun & Min, Byungsun & Yoon, Sun-Joong, 2015. "The role of the variance premium in Jump-GARCH option pricing models," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 38-56.
- Kozarski, R., 2013. "Pricing and hedging in the VIX derivative market," Other publications TiSEM 221fefe0-241e-4914-b6bd-c, Tilburg University, School of Economics and Management.
- Bingxin Li, 2020. "Option-implied filtering: evidence from the GARCH option pricing model," Review of Quantitative Finance and Accounting, Springer, vol. 54(3), pages 1037-1057, April.
- Bandi, F.M. & Renò, R., 2016. "Price and volatility co-jumps," Journal of Financial Economics, Elsevier, vol. 119(1), pages 107-146.
More about this item
JEL classification:
- G - Financial Economics
Statistics
Access and download statisticsCorrections
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:wpa:wuwpfi:0509020. 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.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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: EconWPA (email available below). General contact details of provider: https://econwpa.ub.uni-muenchen.de .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.