Cédric OKOU, professeur agrégé de finance à l’Université du Québec à Montréal (UQAM), séjournera à EconomiX (Université Paris Nanterre) dans la semaine du 20 au 24 Novembre 2017.
Durant son séjour, il présentera son article intitulé « Good Volatility, Bad Volatility and Option Pricing » (voir abstract ci-après) co-écrit avec Bruno FEUNOU de la Banque du Canada.
La présentation aura lieu le mercredi 22 novembre 2017 au Bâtiment G salle G110 de 14h00 à 15h30.
Vous êtes tou(te)s cordialement invité(e)s.
Paper title: « Good Volatility, Bad Volatility and Option Pricing » (by Bruno FEUNOU and Cedric OKOU)
Abstract:
Advances in variance analysis permit to split 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 stock price distribution’s asymmetry. To appraise the economic gain of the decomposition, we design a new and flexible option pricing model in which the underlying asset price exhibits distinct upside and downside semi-variance dynamics driven by their model-free proxies. The new model outperforms common benchmarks, especially, the alternative that splits the quadratic variation into diffusive and jump components.
JEL Classification: G12
Keywords: Dynamic Upside Volatility, Dynamic Downside Volatility, Dynamic Skewness, Realized Downside Volatility, Realized Upside Volatility.
