Bias reduction in spot volatility estimation from options
Viktor Todorov, Yang Zhang
| 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 | Optionspreistheorie | Option pricing theory | Schätztheorie | Estimation theory | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2021.12.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014364661