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008171211s2017    oncd    ob   f000 0 eng d
040 |aCaOODSP|beng
041 |aeng|bfre
043 |an-cn---
0861 |aFB3-5/2017-52E-PDF
1001 |aFeunou, Bruno.
24510|aGood volatility, bad volatility and option pricing |h[electronic resource] / |cby Bruno Feunou and Cédric Okou.
260 |a[Ottawa] : |bBank of Canada, |c2017.
300 |aiii, 43 p. : |bcharts.
4901 |aBank of Canada staff working paper, |x1701-9397 ; |v2017-52
500 |a"December 2017."
504 |aIncludes bibliographical references (p. 30-31).
5203 |a“Advances in variance analysis permit the splitting of the total quadratic variation of a jump diffusion process into upside and downside components. Recent studies establish that this decomposition enhances volatility predictions, and highlight the upside/downside variance spread as a driver of the asymmetry in stock price distributions. To appraise the economic gain of this decomposition, we design a new and flexible option pricing model in which the underlying asset price exhibits distinct upside and downside semi-variance dynamics driven by their model-free proxies. The new model outperforms common benchmarks, especially the alternative that splits the quadratic variation into diffusive and jump components"--Abstract, p. ii.
546 |aIncludes abstract in French.
69207|2gccst|aStock markets
69207|2gccst|aAssets
69207|2gccst|aPrices
69207|2gccst|aStatistical analysis
7001 |aOkou, Cédric.
7102 |aBank of Canada.
830#0|aStaff working paper (Bank of Canada)|x1701-9397 ; |v2017-52|w(CaOODSP)9.806221
85640|qPDF|s858 KB|uhttps://publications.gc.ca/collections/collection_2017/banque-bank-canada/FB3-5-2017-52-eng.pdf