Option Prices, Implied Price Processes, and Stochastic Volatility

By Mark Britten-Jones, Anthony Neuberger. 2000

937 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/a13984f605f34d151cdb3e4d8e335a747456c83b

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. V. Todorov
2. Tim Bollerslev
3. Turan G. Bali
4. Hao Zhou
5. Geert Bekaert
6. Lucio Sarno
7. Liuren Wu
8. Paul Schneider

In Finance

1. V. Todorov
2. Tim Bollerslev
3. Hao Zhou
4. Geert Bekaert
5. Turan G. Bali
6. Liuren Wu
7. I. Drechsler
8. Torben G. Andersen

Citations in the corpus

• Variance Risk Premiums and the Forward Premium Puzzle (2012, neutral): “More sophisticated approaches to calculate the variance risk premium include the modelfree approach to measure risk-neutral expected variance (Britten-Jones and Neuberger, 2000), high-frequency return based measures of realized variance (Bollerslev, Tauchen, and Zhou, 2009), and VAR forecasted…”
• Asset Return Dynamics under Habits and Bad Environment–Good Environment Fundamentals (2017, positive): “We show that appending the Campbell and Cochrane model with BEGE dynamics for consumption and dividend growth allows it to match the evidence in Figures 1 and 2 as well as several other features of macro economic data and data for asset and option prices. Regarding the latter, one can derive the opt”
• Sentiment in Central Banks’ Financial Stability Reports* (2017, methodology): “The methodology to calculate the VIX was proposed by Carr and Madan (1998) and Britten-Jones and Neuberger (2000). Time series for the VIX are obtained from Bloomberg.”
• On the Role of Risk Premia in Volatility Forecasting (2007, methodology): “I do not use the new VIX index, which is a model-free volatility concept (see, for instance, Britten-Jones and Neuberger 2000), because this article focuses on the traditional implied volatility concept and because the new measure is not available for all the different markets that we study.”
• Variance Dynamics: Joint Evidence from Options and High-Frequency Returns (2011, background): “1 Theoreticalworks on the replication of variance swap contracts includeCarr and Madan (1998), Demeterfi et al.”
• Expected Stock Returns and Variance Risk Premia (2009, neutral): “are computed from a collection of option prices without the use of a specific pricing model (see, for example, Carr and Madan 1998; Britten-Jones and Neuberger 2000; Jiang and Tian 2005).”
• Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models (2011, neutral): “and Madan, 2000; Britten-Jones and Neuberger, 2000; Carr and Madan, 2001), is equal to a certain portfolio of options, as being used by the CBOE to compute the new VIX index. Alternatively, we may use the parametric model in Eq. (1) to …nd (2)strike and, hence, price the contract. In this case, one ”
• Risk, Uncertainty, and Expected Returns (2011, positive): “Following Britten-Jones and Neuberger (2000), Jiang and Tian (2005), and Carr and Wu (2009), we define the variance risk premium (VRP) as the difference between expected variance under the risk-neutral measure and expected variance under the objective measure.”
• Crash-Neutral Currency Carry Trades (2014, neutral): “C̃T CN t+1(rd,t > rf,t) = exp(rd,t · τ) · ((1 + qc · δc) · St − qc · Ct(Kc, τ))− qc ·min(Kc, S̃t+1) (13)”
• Properties of Foreign Exchange Risk Premiums (2012, background): “Britten-Jones and Neuberger (2000) show that MFIV equals the expected realized variance under the risk neutral measure.”
• Quadratic Variance Swap Models (2016, neutral): “…swap payoff is only sensitive to the realized variance over a desired and hedging errors when attempting to replicate a given variance swap, e.g., Neuberger (1994), Dupire (1993), Carr and Madan (1998), Demeterfi, Derman, Kamal, and Zou (1999), Britten-Jones and Neuberger (2000), swap models.”
• A tale of two option markets: Pricing kernels and volatility risk ☆ (2014, neutral): “, Britten-Jones and Neuberger (2000) and Carr and Wu (2009). 6 The VIX settlement value is determined by a Special Opening Quotation (SOQ), based on the opening trades of S&P 500 options instead of end-of-day option quotes.”