Stock index futures markets: Stochastic volatility models and smiles

Journal of Futures Markets

Volumn 21, Issue 1, 2001, Pages 43-78

  Tompkins, Robert G ^a,b,c  

^a VIENNA UNIVERSITY OF TECHNOLOGY   (Austria)

^b INSTITUTE FOR ADVANCED STUDIES   (Austria)

^c NONE   (Austria)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0035545556     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/1096-9934(200101)21:1<43::AID-FUT3>3.0.CO;2-0     Document Type: Article

References (45)

1. Andersen, T. G., Chung, H.-J., & Sørensen, B. E. (1999). Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study. Journal of Econometrics, 91, 61-87.
2. Andersson, J. (1999a). Maximum likelihood estimation of the normal inverse Gaussian stochastic volatility model. Comprehensive Summaries of Uppsala Dissertations From the Faculty of Social Sciences, 82, 1-11.
3. Andersson, J. (1999b). On the normal inverse Gaussian stochastic volatility model. Essays on Financial Time Series Models, Stochastic Volatility and Lone Memory, Acta Universitatis Upsaliensis. Comprehensive Summaries of Uppsala Dissertations from the Faculty of Social Sciences, 82, 1-10.
4. Bakshi, G., Cao, C., & Chen, Z. (1997). Empirical performance of alternative option pricing models. Journal of Finance, 52, 2003-2049.
5. Barndorff-Nielsen, O. E. (1997). Normal inverse Gaussian distributions and stochastic volatility modelling. Scandinavian Journal of Statistics, 24, 1-13.
6. Barndorff-Nielsen, O. E., & Shephard, N. (1999). Incorporation of a leverage effect in a stochastic volatility model. Manuscript in preparation, University of Aarhus.
7. Bates, D. S. (1996). Jumps and stochastic volatility: Exchange rate process implicit in PHLX foreign currency options. Review of Financial Studies, 9, 69-107.
8. Bates, D. S. (2000). Post-'87 crash fears in the S&P 500 futures options markets. Journal of Econometrics, 94, 181-238.
9. Black, F. (1975). Fact and fantasy in the use of options. Financial Analysts Journal, 31, 36-41, 61-72.
10. Black, F. (1976). The pricing of commodity contracts. Journal of Financial Economics, 3, 167-179.
11. Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81, 637-654.
12. Boyle, P. P. (1977). Options: A Monte Carlo approach. Journal of Financial Economics, 4, 323-338.
13. Burghardt, G., & Lane, M. (1990). How to tell if options are cheap. Journal of Portfolio Management, 16, 72-78.
14. Christie, A. A. (1982). The stochastic behaviour of common stock variances. Journal of Financial Economics, 10, 407-432.
15. Corrado, C. J., & Su, T. (1996). Skewness and kurtosis in S&P 500 index returns implied by option prices. Journal of Financial Research, 19, 175-192.
16. Cox, J. C., & Ross, C. A. (1976). The valuation of options for alternative stochastic processes. Journal of Financial Economics, 3, 145-166.
17. Derman, E., & Kani, I. (1994). Riding on the smile. RISK, 7(2), 32-39.
18. Ding, Z., Granger, C. W. J., & Engle, R. F. (1993). A long memory property of stock returns and a new model. Journal of Empirical Finance, 1, 83-106.
19. Duffie, D., & Singleton, K. J. (1993). Simulated moments estimation of Markov models of asset prices. Econometrica, 50, 929-952.
20. Gallant, A. R., & Tauchen, G. (1996). Which moments to match? Econometric Theory, 12, 657-681.
21. Harvey, C. R., & Siddique, A. (1998). Conditional skewness in asset pricing tests. Manuscript in preparation, Duke University, Durham, NC.
22. Henker, T., & Kazemi, H. B. (1998). The impact of deviations from random walk in security prices on option prices. Manuscript in preparation, University of Massachusetts, Amherst.
23. Heston, S. L. (1993). A closed-form solution for options with stochastic volatility with applications to bond and currency options. Review of Financial Studies, 6, 327-343.
24. Ho, M. S., Perraudin, W. R. M., & Sørensen, B. E. (1996). A continuous-time arbitrage-pricing model with stochastic volatility and jumps. Journal of Business & Economic Statistics, 14, 31-13.
25. Hodges, S., & Tompkins, R. (2000). The sampling properties of volatility cones (FORC Pre-print 00/103). Coventry, England: University of Warwick, Financial Options Research Centre.
26. Hull, J., & White, A. (1987). Hedging the risks from writing foreign currency options. Journal of International Money and Finance, 6, 131-152.
27. Hull, J., & White, A. (1988). An analysis of the bias in option pricing caused by a stochastic volatility. Advances in Futures and Options Research, 3, 29-61.
28. Jackwerth, J. C., & Rubinstein, M. (1996). Recovering probability distributions from option prices. Journal of Finance, 51, 1611-1631.
29. Johnson, H., & Shanno, D. (1987). Option pricing when the variance is changing. Journal of Financial and Quantitative Analysis 22, 143-152.
30. Mayhew, S. (1995). Implied volatility. Financial Analysts Journal, 51(4), 8-20.
31. Melino, A., & Turnbull, S. M. (1990). Pricing foreign currency options with stochastic volatility. Journal of Econometrics, 45, 239-265.
32. Merton, R. (1973). The theory of rational option pricing. Bell Journal of Economics, 4, 141-183.
33. Merton, R. (1976). Options pricing when underlying stock returns are discontinuous. Journal of Financial Economics, 3, 125-144.
34. Natenberg, S. (1994). Option volatility and pricing: Advanced trading strategies and techniques. Chicago: Probus.
35. Rydberg, T. H. (1997). The normal inverse Gaussian Levy process: Simulation and approximation. Communications of Statistical and Stochastic Model, Stochastic Models, 13, 887-910.
36. Scott, L. O. (1987). Option pricing when the variance changes randomly: Theory, estimation and an application. Journal of Financial and Quantitative Analysis, 22, 419-438.
37. Shimko, D. (1993). Bounds of probability. RISK, 6(4), 33-37.
38. Stein, E. M., & Stein, J. C. (1991) Stock price distributions with stochastic volatility: An analytic approach. Review of Financial Studies, 4, 727-752.
39. Stoll, H. R., & Whaley, R. E. (1990). The dynamics of stock index and stock index futures returns. Journal of Financial and Quantitative Analysis, 25, 441-468.
40. Taylor, S. J. (1986). Modelling financial time series. New York: Wiley.
41. Taylor, S. J. (1994). Modelling stochastic volatility: A review and comparative study. Mathematical Finance, 4, 183-204.
42. Theodossiou, P. (in press). Financial data and the skewed generalized T distribution. Management Science, 44 (12), 1650-1661.
43. Tompkins, R. G. (1997). Measuring equity volatilities in equity derivatives. London: RISK.
44. Tompkins, R. G. (1999). Implied volatility surfaces: Uncovering regularities for options of financial futures (FORC Pre-print 98/93). Coventry, England: University of Warwick, Financial Options Research Centre.
45. Wiggins, J. B. (1987). Option values under stochastic volatility: Theory and empirical estimates. Journal of Financial Economics, 19, 351-372.