Volatility: Expectations and Realizations
作者： R. Peters , R. van der Weide
DOI:
关键词: Economics 、 Stochastic volatility 、 Econometrics 、 Rational expectations 、 Financial economics 、 Volatility (finance) 、 Volatility smile 、 Volatility swap 、 Implied volatility 、 Black–Scholes model 、 Valuation of options
摘要: Embedded in option prices are market expectations regarding future volatility. While the assumption of rational has been a popular paradigm, it is difficult to ignore subjective nature expectations. The objective this paper make visible as they evolve over time, and price options line with prevailing expectations, be or non-rational. We put forward an analytically convenient pricing framework that accommodates both stochastic volatility asymmetric Daily estimates implied pdf obtained by estimating model one day at time. do not impose too much structure on how updated but allow take their course.
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