| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w18046 |
| 来源ID | Working Paper 18046 |
| Parametric Inference and Dynamic State Recovery from Option Panels | |
| Torben G. Andersen; Nicola Fusari; Viktor Todorov | |
| 发表日期 | 2012-05-03 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | We develop a new parametric estimation procedure for option panels observed with error which relies on asymptotic approximations assuming an ever increasing set of observed option prices in the moneyness- maturity (cross-sectional) dimension, but with a fixed time span. We develop consistent estimators of the parameter vector and the dynamic realization of the state vector that governs the option price dynamics. The estimators converge stably to a mixed-Gaussian law and we develop feasible estimators for the limiting variance. We provide semiparametric tests for the option price dynamics based on the distance between the spot volatility extracted from the options and the one obtained nonparametrically from high-frequency data on the underlying asset. We further construct new formal tests of the model fit for specific regions of the volatility surface and for the stability of the risk-neutral dynamics over a given period of time. A large-scale Monte Carlo study indicates the inference procedures work well for empirically realistic specifications and sample sizes. In an empirical application to S&P 500 index options we extend the popular double-jump stochastic volatility model to allow for time-varying jump risk premia and a flexible relation between risk premia and the level of risk. Both extensions lead to an improved characterization of observed option prices. |
| 主题 | Econometrics ; Estimation Methods ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w18046 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/575722 |
| 推荐引用方式 GB/T 7714 | Torben G. Andersen,Nicola Fusari,Viktor Todorov. Parametric Inference and Dynamic State Recovery from Option Panels. 2012. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w18046.pdf（790KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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