The fine structure of equity-index option dynamics
DOI10.1016/J.JECONOM.2015.02.037zbMATH Open1337.91135OpenAlexW3022226261MaRDI QIDQ2347729FDOQ2347729
Authors: Torben G. Andersen, Oleg Bondarenko, Viktor Todorov, George Tauchen 
Publication date: 8 June 2015
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.02.037
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stochastic volatilityimplied volatilityhigh-frequency dataKolmogorov-Smirnov teststable processjump activityVIX index
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
Cites Work
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- Small-Time Asymptotics of Option Prices and First Absolute Moments
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
- Limit theorems for moving averages of discretized processes plus noise
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- Volatility jumps
- Is Brownian motion necessary to model high-frequency data?
- Limit theorems for the empirical distribution function of scaled increments of Itô semimartingales at high frequencies
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Cited In (16)
- What Drives Index Options Exposures?
- Power penalty approach to American options pricing under regime switching
- CHANCE DISCOVERY IN STOCK INDEX OPTION AND FUTURES ARBITRAGE
- Informative option portfolios in filter design for option pricing models
- Estimating Jump Activity Using Multipower Variation
- Jumps or Staleness?
- Efficiency and options on the market index
- Variance dynamics: joint evidence from options and high-frequency returns
- Microstructural biases in empirical tests of option pricing models
- On the estimation of jump-diffusion models using intraday data: a filtering-based approach
- A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation
- Nonparametric filtering of conditional state-price densities
- Inference for local distributions at high sampling frequencies: a bootstrap approach
- Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale
- The S\&P 500 index as a Sato process travelling at the speed of the VIX
- Econometric analysis of financial derivatives: an overview
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