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| 01938cam 2200337za 4500 |
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| 001 | 9.848567 |
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| 003 | CaOODSP |
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| 005 | 20221107153717 |
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| 007 | cr ||||||||||| |
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| 008 | 171211s2017 oncd ob f000 0 eng d |
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| 040 | |aCaOODSP|beng |
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| 041 | |aeng|bfre |
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| 043 | |an-cn--- |
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| 086 | 1 |aFB3-5/2017-52E-PDF |
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| 100 | 1 |aFeunou, Bruno. |
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| 245 | 10|aGood volatility, bad volatility and option pricing |h[electronic resource] / |cby Bruno Feunou and Cédric Okou. |
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| 260 | |a[Ottawa] : |bBank of Canada, |c2017. |
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| 300 | |aiii, 43 p. : |bcharts. |
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| 490 | 1 |aBank of Canada staff working paper, |x1701-9397 ; |v2017-52 |
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| 500 | |a"December 2017." |
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| 504 | |aIncludes bibliographical references (p. 30-31). |
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| 520 | 3 |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. |
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| 546 | |aIncludes abstract in French. |
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| 692 | 07|2gccst|aStock markets |
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| 692 | 07|2gccst|aAssets |
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| 692 | 07|2gccst|aPrices |
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| 692 | 07|2gccst|aStatistical analysis |
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| 700 | 1 |aOkou, Cédric. |
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| 710 | 2 |aBank of Canada. |
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| 830 | #0|aStaff working paper (Bank of Canada)|x1701-9397 ; |v2017-52|w(CaOODSP)9.806221 |
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| 856 | 40|qPDF|s858 KB|uhttps://publications.gc.ca/collections/collection_2017/banque-bank-canada/FB3-5-2017-52-eng.pdf |
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