Assessing the quality of volatility estimators via option pricing
Simona Sanfelici and Adamo Uboldi
| Year of publication: |
2014
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|---|---|
| Authors: | Sanfelici, Simona ; Uboldi, Adamo |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 18.2014, 2, p. 103-124
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| Subject: | high-frequency data | volatility estimation | option pricing | 7901 05-05-14; 7835/0206 | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Black-Scholes-Modell | Black-Scholes model |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Systemvoraussetzungen: Acrobat Reader |
| Other identifiers: | 10.1515/snde-2012-0075 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010347332