UNIGE document Scientific Article
previous document  unige:75147  next document
add to browser collection
Title

Realizing smiles: Options pricing with realized volatility

Authors
Corsi, Fulvio
Fusari, Nicola
Published in Journal of Financial Economics. 2013, vol. 107, no. 2, p. 284-304
Abstract We develop a discrete-time stochastic volatility option pricing model exploiting the information contained in the Realized Volatility (RV), which is used as a proxy of the unobservable log-return volatility. We model the RV dynamics by a simple and effective long-memory process, whose parameters can be easily estimated using historical data. Assuming an exponentially affine stochastic discount factor, we obtain a fully analytic change of measure. An empirical analysis of Standard and Poor's 500 index options illustrates that our model outperforms competing time-varying and stochastic volatility option pricing models.
Keywords High-frequencyRealized volatilityOption pricing
Identifiers
Full text
Structures
Citation
(ISO format)
LA VECCHIA, Davide, CORSI, Fulvio, FUSARI, Nicola. Realizing smiles: Options pricing with realized volatility. In: Journal of Financial Economics, 2013, vol. 107, n° 2, p. 284-304. https://archive-ouverte.unige.ch/unige:75147

139 hits

1 download

Update

Deposited on : 2015-09-13

Export document
Format :
Citation style :