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A stochastic volatility model with realized measures for option pricing
Bormetti, Giacomo; Casarin, Roberto; Corsi, Fulvio; … - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 4, pp. 856-871
Persistent link: https://www.econbiz.de/10012313375
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A realized volatility approach to option pricing with continuous and jump variance components
Alitab, Dario; Bormetti, Giacomo; Corsi, Fulvio; … - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 639-664
Persistent link: https://www.econbiz.de/10012127296
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The SINC way : a fast and accurate approach to Fourier pricing
Baschetti, Fabio; Bormetti, Giacomo; Romagnoli, Silvia; … - In: Quantitative finance 22 (2022) 3, pp. 427-446
Persistent link: https://www.econbiz.de/10013167768