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- Torben G. Andersen, Nicola Fusari, +14 authors Neil Shephard
- 2012

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 moneyness (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)

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)

- Torben G. Andersen, Nicola Fusari, +12 authors Ivan Shaliastovich
- 2015

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 components) and introduce a new tail factor. This tail factor has no incremental predictive power for future volatility and jump risks, beyond current and past… (More)

- Andrea Gamba, Nicola Fusari
- Management Science
- 2009

We provide a general valuation approach for capital budgeting decisions involving the modularization in the design of a system. Within the framework developed by Baldwin and Clark (2000), we implement a valuation approach using a numerical procedure based on the Least Squares Monte Carlo method proposed by Longstaff and Schwartz (2001). The approach is… (More)

- Nicola Fusari
- 2011

We develop a discrete-time stochastic volatility option pricing model, which exploits the information contained in high-frequency data. The Realized Volatility (RV) is used as a proxy of the unobservable log-returns volatility. We model its dynamics by a simple but effective (pseudo) long-memory process, the Leverage Heterogeneous Auto-Regressive Gamma… (More)

- Mete Kilic, Ivan Shaliastovich, +4 authors Juan M. Londono
- 2016

We measure “good” and “bad” variance premia that capture risk compensations for the realized variation in positive and negative market returns, respectively. The two variance premium components jointly predict excess returns over the next 1 and 2 years with statistically significant negative (positive) coefficients on the good (bad) component. The R2s reach… (More)

- Selwyn Yuen, Torben Andersen, +18 authors Brian Weller
- 2014

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 longhorizon 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)

- Gurdip Bakshia, Fousseni Chabi-Yob, +12 authors Zhaogang Song
- 2015

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)

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