M
Mikhail Chernov
Researcher at University of California, Los Angeles
Publications - 78
Citations - 5561
Mikhail Chernov is an academic researcher from University of California, Los Angeles. The author has contributed to research in topics: Stochastic volatility & Interest rate. The author has an hindex of 31, co-authored 76 publications receiving 5259 citations. Previous affiliations of Mikhail Chernov include London Business School & Center for Economic and Policy Research.
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Alternative models for stock price dynamics
TL;DR: In this article, the role of various volatility specifications, such as multiple stochastic volatility (SV) factors and jump components, in appropriate modeling of equity return distributions is evaluated.
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Model specification and risk premia: evidence from futures options
TL;DR: In this paper, the authors examined model specification issues and estimates diffusive and jump risk premia using S&P futures option prices from 1987 to 2003, and developed a time series test to detect the presence of jumps in volatility and find strong evidence in support of their presence.
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A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation
TL;DR: In this article, the authors proposed a generic procedure using simultaneously the fundamental price, St, and a set of option contracts, where m⩾1 and σitI is the Black-Scholes implied volatility.
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Disasters Implied by Equity Index Options
TL;DR: In this article, the authors compare the distribution of consumption growth derived from option prices using a macro-finance model to estimates based on macroeconomic data and find that option prices imply smaller probabilities of extreme outcomes than have been estimated from international macro economic data.
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Understanding Index Option Returns
TL;DR: In this article, the authors compare historical option returns to those generated by commonly used option pricing models and find that the most puzzling finding in the existing literature, the large returns to writing out-of-the-money puts, is not even inconsistent with the Black-Scholes model.