Volatility analysis for the GARCH-Itô model with option data
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Publication:6490397
DOI10.1002/CJS.11746MaRDI QIDQ6490397FDOQ6490397
Authors: Huiling Yuan, Yong Zhou, Zhiyuan Zhang, Xiangyu Cui 
Publication date: 23 April 2024
Published in: The Canadian Journal of Statistics (Search for Journal in Brave)
forecasting poweroption-implied volatilityhigh-frequency historical datalow-frequency historical dataquasimaximum likelihood estimators
Cites Work
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- THE GARCH OPTION PRICING MODEL
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- Volatility estimation by combining stock price data and option data
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