The fine structure of equity-index option dynamics (Q2347729)
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scientific article; zbMATH DE number 6443580
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| English | The fine structure of equity-index option dynamics |
scientific article; zbMATH DE number 6443580 |
Statements
The fine structure of equity-index option dynamics (English)
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8 June 2015
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high-frequency data
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implied volatility
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jump activity
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Kolmogorov-Smirnov test
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stable process
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stochastic volatility
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VIX index
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0.7961242198944092
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0.7839518189430237
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0.7773470282554626
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