A stochastic volatility model with realized measures for option pricing
Giacomo Bormetti, Roberto Casarin, Fulvio Corsi, Giulia Livieri
| Year of publication: |
2020
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|---|---|
| Authors: | Bormetti, Giacomo ; Casarin, Roberto ; Corsi, Fulvio ; Livieri, Giulia |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 38.2020, 4, p. 856-871
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| Subject: | Bayesian inference | High-frequency data | Monte Carlo Markov chain | Option pricing | Realized volatility | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Monte Carlo simulation | Markov-Kette | Markov chain |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2019.1604371 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012313375