The informational content of high-frequency option prices
Year of publication: |
2022
|
---|---|
Authors: | Amaya, Diego ; Bégin, Jean-François ; Gauthier, Geneviève |
Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Hanover, Md. : INFORMS, ISSN 1526-5501, ZDB-ID 2023019-9. - Vol. 68.2022, 3, p. 2166-2201
|
Subject: | high-frequency data | option realized variance | options | jump-diffusion processes | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Volatilität | Volatility | Varianzanalyse | Analysis of variance |
-
Saddlepoint approximation methods for pricing derivatives on discrete realized variance
Zheng, Wendong, (2014)
-
Options order flow, volatility demand and variance risk premium
Chakrabarti, Prasenjit, (2017)
-
Volatility Swaps and Volatility Options on Discretely Sampled Realized Variance
Lian, Guanghua, (2014)
- More ...
-
The Informational Content of High-Frequency Option Prices
Amaya, Diego, (2020)
-
Bégin, Jean-François, (2021)
-
Idiosyncratic Jump Risk Matters : Evidence from Equity Returns and Options
Bégin, Jean-François, (2018)
- More ...