Cédric Okou - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T11:06:14+00:00Risk-Neutral Moment-Based Estimation of Affine Option Pricing Models
https://www.bankofcanada.ca/2017/12/staff-working-paper-2017-55/
This paper provides a novel methodology for estimating option pricing models based on risk-neutral moments. We synthesize the distribution extracted from a panel of option prices and exploit linear relationships between risk-neutral cumulants and latent factors within the continuous time affine stochastic volatility framework.2017-12-08T11:59:51+00:00enRisk-Neutral Moment-Based Estimation of Affine Option Pricing Models2017-12-08Asset pricingEconometric and statistical methodsStaff Working Paper 2017-55https://www.bankofcanada.ca/wp-content/uploads/2017/12/swp2017-55.pdfRisk-Neutral Moment-Based Estimation of Affine Option Pricing ModelsBruno FeunouCédric OkouDecember 2017GG1G12Good Volatility, Bad Volatility and Option Pricing
https://www.bankofcanada.ca/2017/12/staff-working-paper-2017-52/
Advances in variance analysis permit the splitting of the total quadratic variation of a
jump diffusion process into upside and downside components. Recent studies establish
that this decomposition enhances volatility predictions, and highlight the
upside/downside variance spread as a driver of the asymmetry in stock price
distributions.2017-12-07T15:19:43+00:00enGood Volatility, Bad Volatility and Option Pricing2017-12-07Asset pricingEconometric and statistical methodsStaff Working Paper 2017-52https://www.bankofcanada.ca/wp-content/uploads/2017/12/swp2017-52.pdfGood Volatility, Bad Volatility and Option PricingBruno FeunouCédric OkouDecember 2017GG1G12Downside Variance Risk Premium
https://www.bankofcanada.ca/2015/10/working-paper-2015-36/
We decompose the variance risk premium into upside and downside variance risk premia. These components reflect market compensation for changes in good and bad uncertainties. Their difference is a measure of the skewness risk premium (SRP), which captures asymmetric views on favorable versus undesirable risks.2015-10-22T10:52:04+00:00enDownside Variance Risk Premium2015-10-22Asset pricingWorking Paper 2015-36https://www.bankofcanada.ca/wp-content/uploads/2015/10/wp2015-36.pdfDownside Variance Risk PremiumBruno FeunouMohammad R. Jahan-ParvarCédric OkouOctober 2015GG1G12