Overnight volatility, realized volatility, and option pricing
Year of publication: |
2022
|
---|---|
Authors: | Wang, Tianyi ; Cheng, Sicong ; Yin, Fangsheng ; Yu, Mei |
Published in: |
The journal of futures markets. - New York, NY : Wiley Interscience, ISSN 1096-9934, ZDB-ID 2002201-3. - Vol. 42.2022, 7, p. 1264-1283
|
Subject: | option pricing | overnight volatility | realized volatility | S&P 500 index options | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Index-Futures | Index futures | Zeitreihenanalyse | Time series analysis |
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