Bias reduction in spot volatility estimation from options
Year of publication: |
2023
|
---|---|
Authors: | Todorov, Viktor ; Zhang, Yang |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 234.2023, 1, p. 53-81
|
Subject: | Characteristic function | Higher-order asymptotic expansion | Jumps | Options | Volatility estimation | Volatilität | Volatility | Schätztheorie | Estimation theory | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Systematischer Fehler | Bias |
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