Inference for volatility-type objects and implications for hedging

DOI10.4310/SII.2008.V1.N2.A4zbMath1230.91197OpenAlexW1511340954MaRDI QIDQ660057

Lan Zhang, Per Aslak Mykland

Publication date: 25 January 2012

Published in: Statistics and Its Interface (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4310/sii.2008.v1.n2.a4

zbMATH Keywords

implied volatilitystable convergencerealized volatilityvolatility estimationoption hedgingsmall interval asymptotics

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Statistical methods; risk measures (91G70) Point estimation (62F10) Markov processes: estimation; hidden Markov models (62M05) Derivative securities (option pricing, hedging, etc.) (91G20)

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