Are classical option pricing models consistent with observed option second-order moments? : evidence from high-frequency data
Francesco Audrino, Matthias R. Fengler (University of St. Gallen, School of Economics and Political Science, Department of Economics, St. Gallen, Switzerland)
| Year of publication: |
December 2015
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|---|---|
| Authors: | Audrino, Francesco ; Fengler, Matthias |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 61.2015, p. 46-63
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| Subject: | Option pricing | High frequency data | Realized variance | Stochastic volatility | Jump diffusion | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Elektronisches Handelssystem | Electronic trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2015.08.018 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011545126