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.
