Ubukata, Masato; Watanabe, Toshiaki - Institute of Economic Research, Hitotsubashi University - 2013
This article examines option pricing performance using realized volatilities with or without handling microstructure noise, non-trading hours and large jumps. The dynamics of realized volatility is specified by ARFIMA(X) and HAR(X) models. Main results using put options on the Nikkei 225 index...