A Latent Factor Model for the Cross-Section of Option Returns

2019 ◽  
Author(s):  
Matthias Büchner ◽  
Bryan T. Kelly
Keyword(s):  
Cross Section ◽  
Factor Model ◽  
Latent Factor ◽  
Option Returns ◽  
Latent Factor Model ◽  
The Cross

The Determinants of the KOSPI200 Index Option Returns

2016 ◽  
Vol 24 (1) ◽  
pp. 65-96
Author(s):  
Byung Jin Kang
Keyword(s):  
Cross Section ◽  
Global Financial Crisis ◽  
Factor Model ◽  
Related Factor ◽  
Related Factors ◽  
Cross Sectional ◽  
Option Returns ◽  
The Cross ◽  
The Global Financial Crisis ◽  
Index Option

This study examines the effects of crisis-related factors on the returns of KOSPI200 index options using a factor model, which was introduced by Constantinides, Jackwerth and Savov (2013). Three factors incorporating price jumps, changes in volatility, and volatility jumps are considered as the crisis-related factors. With the data for the period from 2004 to 2015, we find followings : First, most of the crisis-related factor premia are statistically significant, and their signs are consistent with those expected. Second, these crisis-related factors contribute to improve the understanding of the cross-sectional variation in KOSPI200 index option returns. Third, the crisis-related factor premia became much more significant after the global financial crisis in 2008. Finally, our empirical findings are robust to whether the long options and the in-the-money options are included in the sample or not, and to whether the factor premia are constrained to equal the corresponding premia estimated from the cross-section of equities.

Consumption Risk and the Cross-Section of Option Returns

2018 ◽  
Author(s):  
Kevin Aretz ◽  
Hening Liu ◽  
Shuwen Yang ◽  
Yuzhao Zhang
Keyword(s):  
Cross Section ◽  
Option Returns ◽  
The Cross ◽  
Consumption Risk

scholarly journals Cross-Domain Recommendation via Cluster-Level Latent Factor Model

2013 ◽  
pp. 161-176 ◽  
Author(s):  
Sheng Gao ◽  
Hao Luo ◽  
Da Chen ◽  
Shantao Li ◽  
Patrick Gallinari ◽  
...  
Keyword(s):  
Factor Model ◽  
Latent Factor ◽  
Cross Domain ◽  
Latent Factor Model ◽  
Cluster Level
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