IFin Seminar, Nicola Fusari, Johns Hopkins Carey Business School "Structural Stochastic Volatility "
Istituto di finanza
Data: 24 Febbraio 2022 / 12:25 - 13:40
Relatore: Nicola Fusari, Johns Hopkins Carey Business School
Tema: "Structural Stochastic Volatility "
Data: 24 febbraio 2022
Ore: 12:25 - 13:40
Aula: Virtuale in Zoom
Campus di Lugano
Abstract
A novel closed-form pricing formula for short-maturity options is employed to jointly identify equity characteristics (spot volatility, spot leverage and spot volatility of volatility) which have been the focus of large, but separate, strands of the literature. Interpreting equity as a call option on asset values, all equity characteristics should depend on structural sources of risk, such as the variance of the firm's assets and the extent of the firm's financial leverage. We confirm the implications of theory with data, thereby providing support for relations (like the link between spot leverage and the firm's financial leverage) broadly considered empirically ambiguous.
