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Economics / Volatility / Stochastic volatility / Autoregressive conditional heteroskedasticity / Black–Scholes / Realized variance / Realized kernel / Implied volatility / VIX / Mathematical finance / Financial economics / Finance


Pricing options by simulation using realized volatility
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Document Date: 2013-01-16 21:49:36

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City

Cairns / /

Company

Fleming / Dow Jones / Chicago Board Options Exchange / /

Country

Australia / Switzerland / /

Currency

pence / cent / /

Facility

Tinbergen Institute / University of Southern Switzerland / Quantitative Economics Complutense University of Madrid Marcel Scharth University / Securities Industry Research Centre / Heterogeneous ARCH / /

IndustryTerm

analytical solution / /

MarketIndex

S&P 500 / Dow 30 / /

Organization

Madrid Marcel Scharth University / PRICING OPTIONS BY SIMULATION USING REALIZED VOLATILITY David E. Allen School of Accounting / Congress / Edith Cowan University / Tinbergen Institute / Australian Research Council / University of Amsterdam / Quantitative Economics Complutense University / Securities Industry Research Centre of Asia-Pacific / /

Person

D. VAN D IJK / Michael McAleer / /

Position

rt / µZ rt / SIMULATION USING REALIZED VOLATILITY rt / /

PublishedMedium

Journal of Financial Economics / Econometrica / Review of Economics and Statistics / Journal of Econometrics / /

Region

Southern Switzerland / /

Technology

ATM / SIMULATION / /

URL

http /

SocialTag