A realized volatility approach to option pricing with continuous and jump variance components
Dario Alitab, Giacomo Bormetti, Fulvio Corsi, Adam A. Majewski
| Year of publication: |
2019
|
|---|---|
| Authors: | Alitab, Dario ; Bormetti, Giacomo ; Corsi, Fulvio ; Majewski, Adam A. |
| Published in: |
Decisions in economics and finance : DEF ; a journal of applied mathematics. - Milano : Springer, ISSN 1593-8883, ZDB-ID 2040574-1. - Vol. 42.2019, 2, p. 639-664
|
| Subject: | High-frequency | Realized volatility | HARG | Option pricing | Variancerisk premium | Jumps | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10203-019-00241-2 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012127296