A Stochastic Volatility Model With Realized Measures for Option Pricing

DOI10.1080/07350015.2019.1604371MaRDI QIDQ6626361zbMATH OpenFDO

Authors Giacomo Bormetti, Roberto Casarin, Fulvio Corsi, Giulia Livieri

Publication date 28 October 2024

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2019.1604371

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cited in

(1)

• A new bivariate approach for modeling the interaction between stock volatility and interest rate: an application to S\&P500 returns and options

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