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~institution:"Econometric Society"
~person:"Clements, Adam E"
~person:"Huang, Jing-zhi"
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THREE-POINT VOLATILITY SMILE C...
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Implied volatility
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Levy processes
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Option pricing
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diffusion
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jumps
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realized volatility
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Clements, Adam E
Huang, Jing-zhi
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Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes
Huang, Jing-zhi
;
Wu, Liuren
-
Econometric Society
-
2004
index
options
, one needs to incorporate an infinite activity jump component in the underlying asset return process, and also …
Persistent link: https://www.econbiz.de/10005699646
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2
Forward looking information in S&P 500
options
White, Scott I
;
Becker, Ralf
;
Clements, Adam E
-
Econometric Society
-
2004
model based forecasts using a variety of volatility models. The VIX index, constructed from S&P 500
options
data is the …
Persistent link: https://www.econbiz.de/10005702557
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