Option pricing using high-frequency futures prices
Stavros Degiannakis, Christos Floros, Thomas Poufinas, George Filis and Konstantinos Gkillas
| Year of publication: |
2021
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|---|---|
| Authors: | Degiannakis, Stavros ; Floros, Christos ; Poufinas, Thomas ; Filis, George ; Gillas, Konstantinos Gkillas |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 23.2021, 4, p. 81-101
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| Subject: | high-frequency data | volatility measures | futures prices | option pricing | moneyness | Standard & Poor's 500 (S&P 500) | time to expiration | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Index-Futures | Index futures | Zeitreihenanalyse | Time series analysis | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOR.2021.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012593448