Assessing the quality of volatility estimators via option pricing
Year of publication: |
2014
|
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Authors: | Sanfelici, Simona ; Uboldi, Adamo |
Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 18.2014, 2, p. 103-124
|
Subject: | high-frequency data | volatility estimation | option pricing | 7901 05-05-14; 7835/0206 | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Schätzung | Estimation | Black-Scholes-Modell | Black-Scholes model | Prognoseverfahren | Forecasting model |
Extent: | graph. Darst. |
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Type of publication: | Article |
Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Notes: | Systemvoraussetzungen: Acrobat Reader |
Other identifiers: | 10.1515/snde-2012-0075 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
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