Nicola Fusari

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We develop a new parametric estimation procedure for option panels observed with error. We exploit asymptotic approximations assuming an ever increasing set of option prices in the mon-eyness (cross-sectional) dimension, but with a fixed time span. We develop consistent estimators for the parameters and the dynamic realization of the state vector governing(More)
JEL classification: C51 C52 G12 Keywords: Option pricing Risk premia Jumps Stochastic volatility Return predictability Risk aversion Extreme events a b s t r a c t We study the dynamic relation between market risks and risk premia using time series of index option surfaces. We find that priced left tail risk cannot be spanned by market volatility (and its(More)
We develop a stochastic volatility option pricing model that exploits the informative content of historical high frequency data. Using the Two Scales Realized Volatility as a proxy for the unobservable returns volatility, we propose a simple (affine) but effective long-memory process: the Heterogeneous Auto-Regressive Gamma (HARG) model. This discrete–time(More)
How reliable is the recovery theorem of Ross (2015)? We explore this question in the context of options on the 30-year Treasury bond futures, allowing us to deduce restrictions that link the risk-neutral and physical distributions. The backbone of these restrictions is that the martingale component of the stochastic discount factor is unity. Our approach(More)
I document evidence that equity options with different maturities do not embed the same type of stock information with the same strength. Long-dated options not only embed long-horizon stock information, but also short-horizon information, even if a cheaper and more liquid short-dated option is available. More surprisingly, options can even embed stock(More)
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