Corsi, Fulvio; Fusari, Nicola; La Vecchia, Davide - National Centre of Competence in Research - Financial … - 2011
We develop a discrete-time stochastic volatility option pricing model, which exploits the informationcontained in high-frequency data. The Realized Volatility (RV) is used as a proxy of the unobservablelog-returns volatility. We model its dynamics by a simple but effective long-memory process:...