Unité mixte de recherche 7235

Estimation and filtering with big option data : implications for asset pricing

Intervenant : Kris Jacobs (University of Houston)

The computational cost of estimating option valuation models is very high. We propose to address these constraints by filtering the state variables using particle weights based on model-implied spot volatilities rather than model prices. We illustrate our method by estimating stochastic-volatility and double-jump models. Using long time series and large cross-sections has important implications for option pricing and asset pricing more generally. The variance risk premium parameter is somewhat smaller and much more precisely estimated. Inference on parameters characterizing skewness, kurtosis, and risk aversion changes. Moneyness and especially maturity restrictions may result in identification problems for the models we study.

AGENDA

vendredi 2 juin 2023

Rencontres économiques

9h30 à 11h30

Le renouveau industriel français est-il encore possible ?

jeudi 8 juin 2023

Doctorants

Sahil Chopra (Université Sorbonne Paris-Nord)

Economics of litigation : Securities class action with third-party funding

lundi 12 juin 2023

Law, Institutions and Economics in Nanterre (LIEN)

Arthur Silve (IAST / Univ. Laval)

TBA

jeudi 15 juin 2023

Lunch

Guillaume Pierné

TBA

lundi 19 juin 2023

Law, Institutions and Economics in Nanterre (LIEN)

Juan Mora-Sanguinetti (Banco de Espana)

TBA

jeudi 22 juin 2023

Doctorants

Jules Chaperon

TBA

vendredi 1 septembre 2023

Professeurs invités

Ken Yahagi

lundi 18 septembre 2023

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