Jou, Yow-Jen; Wang, Chih-Wei; Chiu, Wan-Chien - In: Review of Quantitative Finance and Accounting 40 (2013) 1, pp. 171-188
The contributions of this paper are threefold. The first contribution is the proposed logarithmic HAR (log-HAR) option-pricing model, which is more convenient compared with other option pricing models associated with realized volatility in terms of simpler estimation procedure. The second...