A realized volatility approach to option pricing with continuous and jump variance components

DOI10.1007/s10203-019-00241-2zbMath1432.91117OpenAlexW2924267275WikidataQ128178475 ScholiaQ128178475MaRDI QIDQ2292059

Giacomo Bormetti, Dario Alitab, Adam A. Majewski, Fulvio Corsi

Publication date: 31 January 2020

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/22293/1/DEAF-D-18-00106-workingPaper.pdf

zbMATH Keywords

jumpsoption pricingrealized volatilityvariance risk premiumhigh-frequencyHARG

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Jump processes on general state spaces (60J76)

Related Items (3)

The contribution of intraday jumps to forecasting the density of returns ⋮ A discrete-time hedging framework with multiple factors and fat tails: on what matters ⋮ Volatility and volatility-linked derivatives: estimation, modeling, and pricing

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