Earticle

초록

영어

Based on the theory of a wedge between the physical and risk-neutral conditional volatilities in Christoffersen, Elkamhi, Feunou, and Jacobs (2009), we develop a modification on the GARCH option pricing model with the filtered historical simulation proposed in Barone-Adesi, Engle, and Mancini (2008). The current conditional volatilities under the physical and risk-neutral measures are the same in the previous model, but should have been allowed to be different. Using extensive data on S&P 500 index options, our approach, which employs the current risk-neutral conditional volatility estimated from the cross-section of the option prices (in contrast to the existing GARCH option pricing models), maintains theoretical consistency under conditional non-normality as well as improves the empirical performances. Remarkably, the risk-neutral volatility dynamics are stable over time under this model. In addition, the comparison between the VIX index and the riskneutral integrated volatility validates our approach economically.

목차

Abstract
 1. Introduction
 2. Model
  2.1. Asset dynamics under the physical measure
  2.2. Volatility spreads
  2.3. Change of measure
  2.4. Asset dynamics under the risk-neutral measure
 3. Empirical Analysis
  3.1. Data
  3.2. Implementation of the models
  3.3. In-sample model comparison
  3.4. Risk-neutral volatility structure
  3.5. Out-of-sample model comparison
 4. Conclusion
 References
 Table

저자

• Suk Joon Byun [ KAIST Business School, Korea ]
• Byungsun Min [ KAIST Business School, Korea ] Corresponding author

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330