Volatility bursts : a discrete-time option model with multiple volatility components
Year of publication: |
2023
|
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Authors: | Lilla, Francesca |
Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 21.2023, 3, p. 678-713
|
Subject: | ARG-zero | Kalman filter | option pricing | realized volatility | volatility bursts | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | ARCH-Modell | ARCH model | Zustandsraummodell | State space model | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading |
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