Allen, David E.; McAleer, Michael; Scharth, Marcel - In: Mathematics and Computers in Simulation (MATCOM) 81 (2011) 7, pp. 1247-1256
What are the advances introduced by realized volatility models in pricing options? In this short paper we analyze a simple option pricing framework based on the dually asymmetric realized volatility model, which emphasizes extended leverage effects and empirical regularity of high volatility...