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.


jeudi 8 décembre 2022


Georges Prat

12h - 13h, salle 110

Modeling ex-ante risk premiums in the oil market

lundi 12 décembre 2022

Law, Institutions and Economics in Nanterre (LIEN)

Clément Brébion (Copenhagen BS)

En salle 614 et en distanciel

Unemployment Insurance Eligibility and Employment Duration

mardi 13 décembre 2022

Développement Durable Environnement et Energie (DDEE)

Nicolas Astier (Paris School of Economics)


Riding together: eliciting travelers’ preferences for long-distance carpooling

mercredi 14 décembre 2022

Économies du monde musulman

Mohamed Touati Tliba (École Supérieure de Commerce, Alger)

The scientific wealth of nations with special reference to MENA region: a cross-country productivity analysis of academic research

jeudi 15 décembre 2022


Pablo Aguilar Perez

Profitability and solvency of French insurance companies in an environment of low interest rates

jeudi 15 décembre 2022

Groupe de travail « Intelligence artificielle »

Matthieu Lapaty (UPMC)


jeudi 15 décembre 2022

Groupe de travail Economie Comportementale

Magali Dumontet


jeudi 5 janvier 2023


Mehdi Aït-Hamlat, Florian Baudoin, Tanguy Bonnet

Nouveaux doctorants

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