Equity Option Pricing with Systematic and Idiosyncratic Volatility and Jump Risks

Equity Option Pricing with Systematic and Idiosyncratic Volatility and Jump Risks

Recently, a large number of empirical studies indicated that individual equity options exhibit a strong factor structure. In this paper, the importance of systematic and idiosyncratic volatility and jump risks on individual equity option pricing is analyzed. First, we propose a new factor structure...

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Bibliographic Details
Main Author: Zhe Li
Format: Article
Language:English
Published: MDPI AG 2020-01-01
Series:Journal of Risk and Financial Management
Subjects:
equity option pricing
factor models
stochastic volatility
jumps
Online Access:https://www.mdpi.com/1911-8074/13/1/16

Internet

https://www.mdpi.com/1911-8074/13/1/16

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