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Good Volatility, Bad Volatility and Option Pricing

Author

Listed:
  • Bruno Feunou
  • Cédric Okou

Abstract

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Suggested Citation

  • Bruno Feunou & Cédric Okou, 2017. "Good Volatility, Bad Volatility and Option Pricing," Staff Working Papers 17-52, Bank of Canada.
  • Handle: RePEc:bca:bocawp:17-52
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    File URL: http://www.bankofcanada.ca/wp-content/uploads/2017/12/swp2017-52.pdf
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    References listed on IDEAS

    as
    1. Christoffersen, Peter & Feunou, Bruno & Jeon, Yoontae, 2015. "Option valuation with observable volatility and jump dynamics," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 101-120.
    2. Jacob A. Mincer & Victor Zarnowitz, 1969. "The Evaluation of Economic Forecasts," NBER Chapters,in: Economic Forecasts and Expectations: Analysis of Forecasting Behavior and Performance, pages 3-46 National Bureau of Economic Research, Inc.
    3. Bruno Feunou & Mohammad R. Jahan-Parvar & Cédric Okou, 2015. "Downside Variance Risk Premium," Staff Working Papers 15-36, Bank of Canada.
    4. Ole E. Barndorff-Nielsen, 2004. "Power and Bipower Variation with Stochastic Volatility and Jumps," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(1), pages 1-37.
    5. Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs, 2010. "Option Valuation with Conditional Heteroskedasticity and Nonnormality," Review of Financial Studies, Society for Financial Studies, vol. 23(5), pages 2139-2183.
    6. Lars Stentoft, 2008. "Option Pricing using Realized Volatility," CREATES Research Papers 2008-13, Department of Economics and Business Economics, Aarhus University.
    7. Heston, Steven L & Nandi, Saikat, 2000. "A Closed-Form GARCH Option Valuation Model," Review of Financial Studies, Society for Financial Studies, vol. 13(3), pages 585-625.
    8. repec:taf:eurjfi:v:22:y:2016:i:13:p:1237-1271 is not listed on IDEAS
    9. Christoffersen, Peter & Feunou, Bruno & Jacobs, Kris & Meddahi, Nour, 2014. "The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(03), pages 663-697, June.
    10. Gurdip Bakshi & Nikunj Kapadia & Dilip Madan, 2003. "Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options," Review of Financial Studies, Society for Financial Studies, vol. 16(1), pages 101-143.
    11. Bruno Feunou & Mohammad R. Jahan-Parvar & Roméo Tédongap, 2016. "Which parametric model for conditional skewness?," The European Journal of Finance, Taylor & Francis Journals, vol. 22(13), pages 1237-1271, October.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Asset Pricing; Econometric and statistical methods;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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