Similar Search Results

Are classical option pricing models consistent with observed option second-order moments? : evidence from high-frequency data

Audrino, Francesco; Fengler, Matthias - In: Journal of banking & finance 61 (2015), pp. 46-63

Persistent link: https://www.econbiz.de/10011545126

Are Classical Option Pricing Models Consistent with Observed Option Second-Order Moments? Evidence from High-Frequency Data

Audrino, Francesco - 2015

directionally biased due to the presence of stochastic volatility. The Heston model reduces the mismatch in realized variance …

Persistent link: https://www.econbiz.de/10013035674

Are classical option pricing models consistent with observed option second-order moments? : evidence from high-frequency data

Audrino, Francesco; Fengler, Matthias - 2013

Persistent link: https://www.econbiz.de/10009719695

High-frequency analysis of the carbon market: jumps, causes, and implications

Vicedom, Sebastian - In: Essays in finance : commodity derivatives, volatility …, (pp. 116-153). 2016

Persistent link: https://www.econbiz.de/10011646906

Optimal liquidation under stochastic price impact

Barger, Weston; Lorig, Matthew - In: International journal of theoretical and applied finance 22 (2019) 2, pp. 1-28

Persistent link: https://www.econbiz.de/10012012935

The Informational Content of High-Frequency Option Prices

Amaya, Diego - 2020

We propose the option realized variance as an observable variable to summarize information from high-frequency option data. This variable aggregates intraday option returns from midquote prices to compute the option's total variability for a given day. Using the S&P 500 index time series and...

Persistent link: https://www.econbiz.de/10012854257

Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps

Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - 2013

We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...

Persistent link: https://www.econbiz.de/10010256970

Noise trading, central bank interventions, and the informational content of foreign currency options

Pierdzioch, Christian - 2001

Persistent link: https://www.econbiz.de/10001626608

Noise traders' trigger rates, FX options, and smiles

Pierdzioch, Christian - 2000

Persistent link: https://www.econbiz.de/10013261076

Noise traders' trigger rates, FX options, and smiles

Pierdzioch, Christian - 2000

the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts … is devoloped. The curvature of the volatility strike structure is explained by focusing attention on the expected … characteristic convex shape of volatility strike structures documented in the empirical literature. A volatility-based test for …

Persistent link: https://www.econbiz.de/10011476532