The informational content of high-frequency option prices
Diego Amaya, Jean-François Bégin, Geneviève Gauthier
| Year of publication: |
2022
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|---|---|
| Authors: | Amaya, Diego ; Bégin, Jean-François ; Gauthier, Geneviève |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Hanover, Md. : INFORMS, ISSN 1526-5501, ZDB-ID 2023019-9. - Vol. 68.2022, 3, p. 2166-2201
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| Subject: | high-frequency data | option realized variance | options | jump-diffusion processes | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | Varianzanalyse | Analysis of variance | Börsenkurs | Share price | Derivat | Derivative | Marktmikrostruktur | Market microstructure |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/mnsc.2020.3949 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013267926