Overnight volatility, realized volatility, and option pricing
Tianyi Wang, Sicong Cheng, Fangsheng Yin, Mei Yu
| Year of publication: |
2022
|
|---|---|
| Authors: | Wang, Tianyi ; Cheng, Sicong ; Yin, Fangsheng ; Yu, Mei |
| 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 | ARCH-Modell | ARCH model | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/fut.22330 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013287956