Modeling Volatility Risk in Equity Options

Name: Modeling Volatility Risk in Equity Options
Brand: Scholars Press
SKU: 9786202308045
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A Cross-Sectional Approach

Autor: Doris Dobi

Jazyk:

Vazba: Brožovaná

Vydavatel: Scholars Press

Dostupnost: Skladem u dodavatele

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This paper provides a cross-sectional classification of optionable equities in U.S. Markets based on...

Informace o knize

Autor

Doris Dobi

Jazyk

Angličtina

Vazba

Kniha - Brožovaná

Vydáno

2018

Stránek

144

EAN

9786202308045

Enbook ID

19818892

Vydavatel

Scholars Press

Hmotnost

233

Rozměry

150 x 220 x 9

Kompletní popis

This paper provides a cross-sectional classification of optionable equities in U.S. Markets based on implied volatility data. For each security in the OptionMetrics database over the period from August 2004 to August 2013 we model its implied volatility surface (IVS). We then use the spectrum of the IVS, in particular the leading eigenvalue, to classify options into those carrying mostly systemic risk and into those carrying mostly idiosyncratic risk. We use implied volatility data across 13 different deltas and 4 expiration dates, hence our data on the options market is 52 times larger than that of the equities market. By employing methods from principal component analysis (PCA), and results from random matrix theory (RMT), we classify the significant eigenvalues and conclude that, usually, three principal components suffice to reproduce the IVS. In this way we reduce dimensionality without loosing any meaningful information. Using these results, we formulate an explicit model which can be used to describe the dynamics of the IVS, yet is compact and computationally feasible.

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Modeling Volatility Risk in Equity Options

A Cross-Sectional Approach

Informace o knize

Kompletní popis

Mohlo by vás zajímat

Zákaznicí kteří koupili tuto knihu koupili také