The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation
نویسندگان
چکیده
منابع مشابه
Option Valuation with Jumps in Returns and Volatility
We price options when there are jumps in the pricing kernel and correlated jumps in returns and volatilities. A limiting case of our GARCH process consists of a model where both asset returns and local volatility follow jump diffusion processes with correlated jump sizes. When the jump processes are shut down our model reduces to Duan’s (1995) GARCH option model; when the stochastic volatility ...
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Reasonable efforts have been made to publish reliable data and information, but the author and the publisher cannot assume responsibility for the validity of all materials or the consequences of their use. All information, including formulas, documentation, computer algorithms, and computer code are provided with no warranty of any kind, express or implied. Neither the author nor the publisher ...
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ژورنال
عنوان ژورنال: Journal of Financial and Quantitative Analysis
سال: 2014
ISSN: 0022-1090,1756-6916
DOI: 10.1017/s0022109014000428