pricing model. Implied volatility smiles appear to be explained by the negative asymmetry of the filtered historical … hedging in the presence of large volatility shocks. …

In this study new realized volatility measures based on Multi-Scale regression and Discrete Sine Transform (DST … returns which permits to optimally disentangle the volatility signal of the underlying price process from the market …-Scales DST realized volatility estimator which is robust against a wide class of noise contaminations and model misspecifications …