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Citations for "The Importance of the Loss Function in Option Valuation"

by Peter Christoffersen & Kris Jacobs

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  1. Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2015. "Parametric Inference and Dynamic State Recovery From Option Panels," Econometrica, Econometric Society, vol. 83(3), pages 1081-1145, 05.
  2. Patton, Andrew J & Timmermann, Allan G, 2003. "Properties of Optimal Forecasts," CEPR Discussion Papers 4037, C.E.P.R. Discussion Papers.
  3. Sang Byung Seo & Jessica A. Wachter, 2013. "Option Prices in a Model with Stochastic Disaster Risk," NBER Working Papers 19611, National Bureau of Economic Research, Inc.
  4. Mahringer, Steffen & Prokopczuk, Marcel, 2015. "An empirical model comparison for valuing crack spread options," Energy Economics, Elsevier, vol. 51(C), pages 177-187.
  5. Georgios Chalamandaris & Andrianos Tsekrekos, 2013. "Explanatory Factors and Causality in the Dynamics of Volatility Surfaces Implied from OTC Asian–Pacific Currency Options," Computational Economics, Springer;Society for Computational Economics, vol. 41(3), pages 327-358, March.
  6. Back, Janis & Prokopczuk, Marcel & Rudolf, Markus, 2013. "Seasonality and the valuation of commodity options," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 273-290.
  7. Bams, Dennis & Lehnert, Thorsten & Wolff, Christian C, 2005. "Loss Functions in Option Valuation: A Framework for Model Selection," CEPR Discussion Papers 4960, C.E.P.R. Discussion Papers.
  8. Carol Alexander & Alexander Rubinov & Markus Kalepky & Stamatis Leontsinis, 2012. "Regime‐dependent smile‐adjusted delta hedging," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(3), pages 203-229, 03.
  9. Hilliard, Jitka, 2013. "Testing Greeks and price changes in the S&P 500 options and futures contract: A regression analysis," International Review of Financial Analysis, Elsevier, vol. 26(C), pages 51-58.
  10. Peter Christoffersen & Steven Heston & Kris Jacobs, 2009. "The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well," Management Science, INFORMS, vol. 55(12), pages 1914-1932, December.
  11. Jarrow, Robert & Kwok, Simon Sai Man, 2015. "Specification tests of calibrated option pricing models," Journal of Econometrics, Elsevier, vol. 189(2), pages 397-414.
  12. Graham Elliott & Allan Timmermann, 2016. "Economic Forecasting," Economics Books, Princeton University Press, edition 1, number 10740, 09-2014.
  13. Shackleton, Mark B. & Taylor, Stephen J. & Yu, Peng, 2010. "A multi-horizon comparison of density forecasts for the S&P 500 using index returns and option prices," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2678-2693, November.
  14. Andreou, Panayiotis C. & Charalambous, Chris & Martzoukos, Spiros H., 2010. "Generalized parameter functions for option pricing," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 633-646, March.
  15. Bernales, Alejandro & Guidolin, Massimo, 2014. "Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 326-342.
  16. Elena Andreou & Constantinos Kourouyiannis & Andros Kourtellos, 2012. "Volatility Forecast Combinations using Asymmetric Loss Functions," University of Cyprus Working Papers in Economics 07-2012, University of Cyprus Department of Economics.
  17. Arismendi, Juan C. & Back, Janis & Prokopczuk, Marcel & Paschke, Raphael & Rudolf, Markus, 2016. "Seasonal Stochastic Volatility: Implications for the pricing of commodity options," Journal of Banking & Finance, Elsevier, vol. 66(C), pages 53-65.
  18. Thibaut Moyaert & Mikael Petitjean, 2011. "The performance of popular stochastic volatility option pricing models during the subprime crisis," Applied Financial Economics, Taylor & Francis Journals, vol. 21(14), pages 1059-1068.
  19. Ryszard Kokoszczyński & Natalia Nehrebecka & Paweł Sakowski & Paweł Strawiński & Robert Ślepaczuk, 2010. "Option Pricing Models with HF Data – a Comparative Study. The Properties of Black Model with Different Volatility Measures," Working Papers 2010-03, Faculty of Economic Sciences, University of Warsaw.
  20. Gonzalez-Rivera, Gloria & Lee, Tae-Hwy & Mishra, Santosh, 2004. "Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood," International Journal of Forecasting, Elsevier, vol. 20(4), pages 629-645.
  21. Kaeck, Andreas, 2013. "Asymmetry in the jump-size distribution of the S&P 500: Evidence from equity and option markets," Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1872-1888.
  22. Sílvia Gonçalves & Massimo Guidolin, 2006. "Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1591-1636, May.
  23. repec:qut:auncer:2012_11 is not listed on IDEAS
  24. Antonio Cosma & Stefano Galluccio & Paola Pederzoli & Olivier Scaillet, 2016. "Early exercise decision in American options with dividends, stochastic volatility and jumps," Papers 1612.03031, arXiv.org.
  25. Christoffersen, Peter & Jacobs, Kris & Chang, Bo Young, 2013. "Forecasting with Option-Implied Information," Handbook of Economic Forecasting, Elsevier.
  26. Mencía, Javier & Sentana, Enrique, 2013. "Valuation of VIX derivatives," Journal of Financial Economics, Elsevier, vol. 108(2), pages 367-391.
  27. Anatolyev, Stanislav, 2009. "Dynamic modeling under linear-exponential loss," Economic Modelling, Elsevier, vol. 26(1), pages 82-89, January.
  28. Cristian Homescu, 2011. "Implied Volatility Surface: Construction Methodologies and Characteristics," Papers 1107.1834, arXiv.org.
  29. Peter Christoffersen & Kris Jacobs, 2004. "Which GARCH Model for Option Valuation?," Management Science, INFORMS, vol. 50(9), pages 1204-1221, September.
  30. Tristan Guillaume, 2008. "Making the best of best-of," Review of Derivatives Research, Springer, vol. 11(1), pages 1-39, March.
  31. Peters, R. & van der Weide, R., 2012. "Volatility: Expectations and Realizations," CeNDEF Working Papers 12-04, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  32. Patton, Andrew J. & Timmermann, Allan, 2007. "Properties of optimal forecasts under asymmetric loss and nonlinearity," Journal of Econometrics, Elsevier, vol. 140(2), pages 884-918, October.
  33. Konstantinos Skindilias & Chia Lo, 2015. "Local volatility calibration during turbulent periods," Review of Quantitative Finance and Accounting, Springer, vol. 44(3), pages 425-444, April.
  34. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
  35. Corsi, Fulvio & Fusari, Nicola & La Vecchia, Davide, 2013. "Realizing smiles: Options pricing with realized volatility," Journal of Financial Economics, Elsevier, vol. 107(2), pages 284-304.
  36. Gurupdesh S. Pandher, 2007. "Regression-based modeling of market option prices: with application to S&P500 options," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(7), pages 475-496.
  37. Gonzalez-Rivera, Gloria & Lee, Tae-Hwy & Yoldas, Emre, 2007. "Optimality of the RiskMetrics VaR model," Finance Research Letters, Elsevier, vol. 4(3), pages 137-145, September.
  38. Patton, Andrew J., 2011. "Volatility forecast comparison using imperfect volatility proxies," Journal of Econometrics, Elsevier, vol. 160(1), pages 246-256, January.
  39. Dennis Bams & Thorsten Lehnert & Christian C. P. Wolff, 2009. "Loss Functions in Option Valuation: A Framework for Selection," Management Science, INFORMS, vol. 55(5), pages 853-862, May.
  40. Le, Van & Zurbruegg, Ralf, 2014. "Forecasting option smile dynamics," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 32-45.
  41. Yongxin Yang & Yu Zheng & Timothy M. Hospedales, 2016. "Gated Neural Networks for Option Pricing: Rationality by Design," Papers 1609.07472, arXiv.org, revised Nov 2016.
  42. Bruce Mizrach, 2007. "Recovering Probabilistic Information From Options Prices and the Underlying," Departmental Working Papers 200702, Rutgers University, Department of Economics.
  43. Carol Alexander & Andreas Kaeck, 2012. "Does model fit matter for hedging? Evidence from FTSE 100 options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(7), pages 609-638, 07.
  44. Vipul Kumar Singh, 2013. "Effectiveness of volatility models in option pricing: evidence from recent financial upheavals," Journal of Advances in Management Research, Emerald Group Publishing, vol. 10(3), pages 352-375, October.
  45. Jitka Hilliard & Wei Li, 2014. "Volatilities implied by price changes in the S&P 500 options and futures contracts," Review of Quantitative Finance and Accounting, Springer, vol. 42(4), pages 599-626, May.
  46. Sadayuki Ono, 2007. "Option Pricing under Stochastic Volatility and Trading Volume," Discussion Papers 07/05, Department of Economics, University of York.
  47. Cherif Guermat & Richard D. F. Harris, 2006. "Bias in the estimation of non-linear transformations of the integrated variance of returns," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(7), pages 481-494.
  48. Alvise De Col & Alessandro Gnoatto & Martino Grasselli, 2012. "Smiles all around: FX joint calibration in a multi-Heston model," Papers 1201.1782, arXiv.org, revised Jun 2013.
  49. Thorsten Lehnert & Gildas Blanchard & Dennis Bams, 2014. "Evaluating Option Pricing Model Performance Using Model Uncertainty," LSF Research Working Paper Series 14-06, Luxembourg School of Finance, University of Luxembourg.
  50. Panayiotis Andreou & Chris Charalambous & Spiros Martzoukos, 2014. "Assessing the performance of symmetric and asymmetric implied volatility functions," Review of Quantitative Finance and Accounting, Springer, vol. 42(3), pages 373-397, April.
  51. Peter Christoffersen & Kris Jacobs & Karim Mimouni, 2007. "Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices," CREATES Research Papers 2007-37, Department of Economics and Business Economics, Aarhus University.
  52. De Col, Alvise & Gnoatto, Alessandro & Grasselli, Martino, 2013. "Smiles all around: FX joint calibration in a multi-Heston model," Journal of Banking & Finance, Elsevier, vol. 37(10), pages 3799-3818.
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