Realizing smiles: options pricing with realized volatility
Contributeurs/tricesLa Vecchia, Davide; Corsi, Fulvio; Fusari, Nicola
MandantSwiss Finance Institute Research Series
Nombre de pages52
Maison d'éditionGeneva : Swiss Finance Institute Research Series
Date de publication2011
Résumé
Mots-clés
- High frequency
- Realized volatility
- Option pricing
Structure d'affiliation
Citation (format ISO)
LA VECCHIA, Davide, CORSI, Fulvio, FUSARI, Nicola. Realizing smiles: options pricing with realized volatility. 2011
Fichiers principaux (1)
Report
Identifiants
- PID : unige:75160