风险溢价和粗略波动

arXiv - QuantFin - Mathematical Finance Pub Date : 2024-03-18 DOI:arxiv-2403.11897

Ofelia Bonesini, Antoine Jacquier, Aitor Muguruza

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引用次数: 0

摘要

一方面，粗略波动率已被证明提供了一个一致的框架来捕捉股票价格动态的特性，无论是在历史衡量标准下还是在定价目的上都是如此。另一方面，波动率风险的市场价格是金融经济学中研究得很透彻的一个对象，经验估计表明它是随机的而不是确定的。从历史计量下的粗略波动率模型出发，我们接受了这一挑战，并分析了这种非确定性风险对定价的影响。

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Risk premium and rough volatility

One the one hand, rough volatility has been shown to provide a consistent framework to capture the properties of stock price dynamics both under the historical measure and for pricing purposes. On the other hand, market price of volatility risk is a well-studied object in Financial Economics, and empirical estimates show it to be stochastic rather than deterministic. Starting from a rough volatility model under the historical measure, we take up this challenge and provide an analysis of the impact of such a non-deterministic risk for pricing purposes.

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arXiv - QuantFin - Mathematical Finance

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