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Realizing smiles: Options pricing with realized volatility

Citations

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Cited by:

  1. Audrino, Francesco & Fengler, Matthias R., 2015. "Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 46-63.
  2. Thijs Benschop & Brenda López Cabrera, 2017. "Realized volatility of CO2 futures," SFB 649 Discussion Papers SFB649DP2017-025, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  3. Christophe Chorro & Florian Ielpo & Benoît Sévi, 2020. "The contribution of intraday jumps to forecasting the density of returns," Post-Print halshs-02505861, HAL.
  4. Liu, Qing & Wang, Shouyang & Sui, Cong, 2023. "Risk appetite and option prices: Evidence from the Chinese SSE50 options market," International Review of Financial Analysis, Elsevier, vol. 86(C).
  5. 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.
  6. Yu-Hua Zeng & Shou-Lei Wang & Yu-Fei Yang, 2014. "Calibration of the Volatility in Option Pricing Using the Total Variation Regularization," Journal of Applied Mathematics, Hindawi, vol. 2014, pages 1-9, March.
  7. Phan, Dinh Hoang Bach & Sharma, Susan Sunila & Narayan, Paresh Kumar, 2016. "Intraday volatility interaction between the crude oil and equity markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 40(C), pages 1-13.
  8. Peter Reinhard Hansen & Chen Tong, 2024. "Convolution-t Distributions," Papers 2404.00864, arXiv.org.
  9. Monica Billio & Roberto Casarin & Matteo Iacopini, 2024. "Bayesian Markov-Switching Tensor Regression for Time-Varying Networks," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 119(545), pages 109-121, January.
  10. Sévi, Benoît, 2014. "Forecasting the volatility of crude oil futures using intraday data," European Journal of Operational Research, Elsevier, vol. 235(3), pages 643-659.
  11. Yan Liu & Xiong Zhang, 2023. "Option Pricing Using LSTM: A Perspective of Realized Skewness," Mathematics, MDPI, vol. 11(2), pages 1-21, January.
  12. Bonato, Matteo & Demirer, Riza & Gupta, Rangan & Pierdzioch, Christian, 2018. "Gold futures returns and realized moments: A forecasting experiment using a quantile-boosting approach," Resources Policy, Elsevier, vol. 57(C), pages 196-212.
  13. Liu, Yi & Liu, Huifang & Zhang, Lei, 2019. "Modeling and forecasting return jumps using realized variation measures," Economic Modelling, Elsevier, vol. 76(C), pages 63-80.
  14. 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.
  15. Chorro, Christophe & Ielpo, Florian & Sévi, Benoît, 2020. "The contribution of intraday jumps to forecasting the density of returns," Journal of Economic Dynamics and Control, Elsevier, vol. 113(C).
  16. Gaoxiu Qiao & Gongyue Jiang, 2023. "VIX futures pricing based on high‐frequency VIX: A hybrid approach combining SVR with parametric models," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(9), pages 1238-1260, September.
  17. Feunou, Bruno & Okou, Cédric, 2019. "Good Volatility, Bad Volatility, and Option Pricing," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 54(2), pages 695-727, April.
  18. Ubukata, Masato & Watanabe, Toshiaki, 2015. "Evaluating the performance of futures hedging using multivariate realized volatility," Journal of the Japanese and International Economies, Elsevier, vol. 38(C), pages 148-171.
  19. Fang Liang & Lingshan Du & Zhuo Huang, 2023. "Option pricing with overnight and intraday volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(11), pages 1576-1614, November.
  20. Wang, Qi & Wang, Zerong, 2020. "VIX valuation and its futures pricing through a generalized affine realized volatility model with hidden components and jump," Journal of Banking & Finance, Elsevier, vol. 116(C).
  21. Masato Ubukata & Toshiaki Watanabe, 2014. "Pricing Nikkei 225 Options Using Realized Volatility," The Japanese Economic Review, Japanese Economic Association, vol. 65(4), pages 431-467, December.
  22. repec:ipg:wpaper:2014-053 is not listed on IDEAS
  23. Seo, Sung Won & Kim, Jun Sik, 2015. "The information content of option-implied information for volatility forecasting with investor sentiment," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 106-120.
  24. Ubukata, Masato, 2018. "Dynamic hedging performance and downside risk: Evidence from Nikkei index futures," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 270-281.
  25. Peter Reinhard Hansen & Zhuo Huang & Chen Tong & Tianyi Wang, 2024. "Realized GARCH, CBOE VIX, and the Volatility Risk Premium," Journal of Financial Econometrics, Oxford University Press, vol. 22(1), pages 187-223.
  26. Arnaud Dufays & Jeroen V. K. Rombouts, 2019. "Sparse Change-point HAR Models for Realized Variance," Econometric Reviews, Taylor & Francis Journals, vol. 38(8), pages 857-880, September.
  27. Qi Wang & Zerong Wang, 2021. "VIX futures and its closed‐form pricing through an affine GARCH model with realized variance," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(1), pages 135-156, January.
  28. Wilms, Ines & Rombouts, Jeroen & Croux, Christophe, 2021. "Multivariate volatility forecasts for stock market indices," International Journal of Forecasting, Elsevier, vol. 37(2), pages 484-499.
  29. Hallin, Marc & La Vecchia, Davide, 2017. "R-estimation in semiparametric dynamic location-scale models," Journal of Econometrics, Elsevier, vol. 196(2), pages 233-247.
  30. Oh, Dong Hwan & Park, Yang-Ho, 2023. "GARCH option pricing with volatility derivatives," Journal of Banking & Finance, Elsevier, vol. 146(C).
  31. Peter Reinhard Hansen & Chen Tong, 2022. "Option Pricing with Time-Varying Volatility Risk Aversion," Papers 2204.06943, arXiv.org, revised Oct 2022.
  32. Vladimír Holý & Petra Tomanová, 2023. "Streaming Approach to Quadratic Covariation Estimation Using Financial Ultra-High-Frequency Data," Computational Economics, Springer;Society for Computational Economics, vol. 62(1), pages 463-485, June.
  33. Sergii Pypko, 2015. "Volatility Forecast in Crises and Expansions," JRFM, MDPI, vol. 8(3), pages 1-26, August.
  34. Amaya, Diego & Christoffersen, Peter & Jacobs, Kris & Vasquez, Aurelio, 2015. "Does realized skewness predict the cross-section of equity returns?," Journal of Financial Economics, Elsevier, vol. 118(1), pages 135-167.
  35. Majewski, Adam A. & Bormetti, Giacomo & Corsi, Fulvio, 2015. "Smile from the past: A general option pricing framework with multiple volatility and leverage components," Journal of Econometrics, Elsevier, vol. 187(2), pages 521-531.
  36. Papantonis, Ioannis & Rompolis, Leonidas & Tzavalis, Elias, 2023. "Improving variance forecasts: The role of Realized Variance features," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1221-1237.
  37. Hongkai Cao & Alexandru Badescu & Zhenyu Cui & Sarath Kumar Jayaraman, 2020. "Valuation of VIX and target volatility options with affine GARCH models," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(12), pages 1880-1917, December.
  38. Zhuo Huang & Chen Tong & Tianyi Wang, 2019. "VIX term structure and VIX futures pricing with realized volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(1), pages 72-93, January.
  39. Gong, Xiao-Li & Liu, Jian-Min & Xiong, Xiong & Zhang, Wei, 2022. "Research on stock volatility risk and investor sentiment contagion from the perspective of multi-layer dynamic network," International Review of Financial Analysis, Elsevier, vol. 84(C).
  40. Christophe Chorro & Florian Ielpo & Benoît Sévi, 2020. "The contribution of intraday jumps to forecasting the density of returns," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-02505861, HAL.
  41. Chen Tong & Peter Reinhard Hansen & Zhuo Huang, 2022. "Option pricing with state‐dependent pricing kernel," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(8), pages 1409-1433, August.
  42. Recchioni, Maria Cristina & Iori, Giulia & Tedeschi, Gabriele & Ouellette, Michelle S., 2021. "The complete Gaussian kernel in the multi-factor Heston model: Option pricing and implied volatility applications," European Journal of Operational Research, Elsevier, vol. 293(1), pages 336-360.
  43. Chen, Jilong & Xu, Liao & Xu, Hao, 2022. "The impact of COVID-19 on commodity options market: Evidence from China," Economic Modelling, Elsevier, vol. 116(C).
  44. Campos, I. & Cortazar, G. & Reyes, T., 2017. "Modeling and predicting oil VIX: Internet search volume versus traditional mariables," Energy Economics, Elsevier, vol. 66(C), pages 194-204.
  45. Yang, Cai & Gong, Xu & Zhang, Hongwei, 2019. "Volatility forecasting of crude oil futures: The role of investor sentiment and leverage effect," Resources Policy, Elsevier, vol. 61(C), pages 548-563.
  46. Tianyi Wang & Sicong Cheng & Fangsheng Yin & Mei Yu, 2022. "Overnight volatility, realized volatility, and option pricing," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(7), pages 1264-1283, July.
  47. Gongyue Jiang & Gaoxiu Qiao & Feng Ma & Lu Wang, 2022. "Directly pricing VIX futures with observable dynamic jumps based on high‐frequency VIX," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(8), pages 1518-1548, August.
  48. Robert Brooks & Joshua A. Brooks, 2017. "An Option Valuation Framework Based On Arithmetic Brownian Motion: Justification And Implementation Issues," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 40(3), pages 401-427, September.
  49. Zhiyuan Pan & Yudong Wang & Li Liu, 2021. "Realized bipower variation, jump components, and option valuation," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(12), pages 1933-1958, December.
  50. Yoontae Jeon & Thomas H. McCurdy, 2017. "Time-Varying Window Length for Correlation Forecasts," Econometrics, MDPI, vol. 5(4), pages 1-29, December.
  51. Qiao, Gaoxiu & Yang, Jiyu & Li, Weiping, 2020. "VIX forecasting based on GARCH-type model with observable dynamic jumps: A new perspective," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
  52. Marc Hallin & Davide La Vecchia, 2014. "Semiparametrically Efficient R-Estimation for Dynamic Location-Scale Models," Working Papers ECARES ECARES 2014-45, ULB -- Universite Libre de Bruxelles.
  53. Ziegelmann, Flávio Augusto & Borges, Bruna & Caldeira, João F., 2015. "Selection of Minimum Variance Portfolio Using Intraday Data: An Empirical Comparison Among Different Realized Measures for BM&FBovespa Data," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 35(1), October.
  54. Qiao, Gaoxiu & Jiang, Gongyue & Yang, Jiyu, 2022. "VIX term structure forecasting: New evidence based on the realized semi-variances," International Review of Financial Analysis, Elsevier, vol. 82(C).
  55. Francesca Lilla, 2021. "Volatility Bursts: A discrete-time option model with multiple volatility components," Temi di discussione (Economic working papers) 1336, Bank of Italy, Economic Research and International Relations Area.
  56. Fuentes, Fernanda & Herrera, Rodrigo & Clements, Adam, 2023. "Forecasting extreme financial risk: A score-driven approach," International Journal of Forecasting, Elsevier, vol. 39(2), pages 720-735.
  57. Xin Du & Kai Moriyama & Kumiko Tanaka-Ishii, 2023. "Co-Training Realized Volatility Prediction Model with Neural Distributional Transformation," Papers 2310.14536, arXiv.org.
  58. Minxian Yang, 2014. "The Risk Return Relationship: Evidence from Index Return and Realised Variance Series," Discussion Papers 2014-16, School of Economics, The University of New South Wales.
  59. Fangsheng Yin & Yang Bian & Tianyi Wang, 2021. "A short cut: Directly pricing VIX futures with discrete‐time long memory model and asymmetric jumps," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(4), pages 458-477, April.
  60. Augustyniak, Maciej & Badescu, Alexandru & Bégin, Jean-François, 2023. "A discrete-time hedging framework with multiple factors and fat tails: On what matters," Journal of Econometrics, Elsevier, vol. 232(2), pages 416-444.
  61. Christian Bayer & Peter Friz & Jim Gatheral, 2016. "Pricing under rough volatility," Quantitative Finance, Taylor & Francis Journals, vol. 16(6), pages 887-904, June.
  62. Yang, Minxian, 2019. "The risk return relationship: Evidence from index returns and realised variances," Journal of Economic Dynamics and Control, Elsevier, vol. 107(C), pages 1-1.
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