The fine structure of equity-index option dynamics
Torben G. Andersen, Oleg Bondarenko, Viktor Todorov, George Tauchen
| Year of publication: |
August 2015
|
|---|---|
| Authors: | Andersen, Torben ; Bondarenko, Oleg ; Todorov, Viktor ; Tauchen, George Eugene |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 187.2015, 2, p. 532-546
|
| Subject: | High-frequency data | Implied volatility | Jump activity | Kolmogorov-Smirnov test | Stable process | Stochastic volatility | VIX index | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Aktienindex | Stock index | Index-Futures | Index futures | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2015.02.037 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011499756