Stochastic Dominance, Stochastic Volatility and the Prices of Volatility and Jump Risk

2022 ◽  
Author(s):  
Stylianos Perrakis
Keyword(s):  
Stochastic Volatility ◽  
Stochastic Dominance ◽  
Jump Risk

scholarly journals The Impact of Overnight Periods on Option Pricing

2007 ◽  
Vol 42 (2) ◽  
pp. 517-533 ◽  
Author(s):  
Mark-Jan Boes ◽  
Feike C. Drost ◽  
Bas J. M. Werker
Keyword(s):  
Stochastic Volatility ◽  
Asset Price ◽  
Jump Process ◽  
Option Prices ◽  
Jump Risk ◽  
Price Process ◽  
Affine Model ◽  
Random Jumps ◽  
The Impact ◽  
Random Jump

AbstractThis paper investigates the effect of closed overnight exchanges on option prices. During the trading day, asset prices follow the literature's standard affine model that allows for stochastic volatility and random jumps. Independently, the overnight asset price process is modeled by a single jump. We find that the overnight component reduces the variation in the random jump process significantly. However, neither the random jumps nor the overnight jumps alone are able to empirically describe all features of option prices. We conclude that both random jumps during the day and overnight jumps are important in explaining option prices, where the latter account for about one quarter of total jump risk.

A non-Gaussian stochastic volatility model

1998 ◽  
Vol 2 (2) ◽  
pp. 33-47 ◽  
Author(s):  
Yuichi Nagahara ◽  
Genshiro Kitagawa
Keyword(s):  
Stochastic Volatility ◽  
Stochastic Volatility Model ◽  
Volatility Model ◽  
Non Gaussian
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