EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"Out-of-sample pricing performance"
Narrow search

Narrow search

Year of publication
Subject
All
HAR 1 Log-HAR 1 NGARCH 1 Option pricing 1 Out-of-sample pricing performance 1 Realized volatility 1
Online availability
All
Undetermined 1
Type of publication
All
Article 1
Language
All
Undetermined 1
Author
All
Chiu, Wan-Chien 1 Jou, Yow-Jen 1 Wang, Chih-Wei 1
Published in...
All
Review of Quantitative Finance and Accounting 1
Source
All
RePEc 1
Showing 1 - 1 of 1
Cover Image
Is the realized volatility good for option pricing during the recent financial crisis?
Jou, Yow-Jen; Wang, Chih-Wei; Chiu, Wan-Chien - In: Review of Quantitative Finance and Accounting 40 (2013) 1, pp. 171-188
The contributions of this paper are threefold. The first contribution is the proposed logarithmic HAR (log-HAR) option-pricing model, which is more convenient compared with other option pricing models associated with realized volatility in terms of simpler estimation procedure. The second...
Persistent link: https://www.econbiz.de/10010867661
Saved in:
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...