Neely, Christopher J. - Federal Reserve Bank of St. Louis - 2004
financial markets. If customers desire a
5
net long position in options for business hedging and option writers hedge their … procedure collects data on six contracts
each year with five to 53 business days to option expiry.
The usual daily volatility … (horizons)
with
seven business days and a maximum horizon of 50 business days. There were 26 to 71
observations for each …