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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
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Investment in high-frequency trading technology : a real options approach
Delaney, Laura - In: European journal of operational research : EJOR 270 (2018) 1, pp. 375-385
Persistent link: https://www.econbiz.de/10011869029
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Trading platform, market volatility and pricing efficiency in the floor-traded and E-mini index futures markets
Chung, Huimin; Sheu, Her-jiun; Hsu, Shufang - In: International review of economics & finance : IREF 19 (2010) 4, pp. 742-754
Persistent link: https://www.econbiz.de/10009006975
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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
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On volatility smile and an investment strategy with out-of-the-money calls
Talponen, Jarno - In: Mathematics and financial economics 10 (2016) 2, pp. 113-125
Persistent link: https://www.econbiz.de/10011485897
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Essays on high frequency financial econometrics
Yang, Xiye - 2015
Persistent link: https://www.econbiz.de/10011279802
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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
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High frequency trading and standard asset pricing models
Jarrow, Robert A. - In: Finance research letters 49 (2022), pp. 1-6
Persistent link: https://www.econbiz.de/10013479259
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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