Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices
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- repec:wsi:rpbfmp:v:10:y:2007:i:02:n:s0219091507001069 is not listed on IDEAS
- Paola Zerilli, 2005.
"Option pricing and spikes in volatility: theoretical and empirical analysis,"
Money Macro and Finance (MMF) Research Group Conference 2005
76, Money Macro and Finance Research Group.
- Paola Zerilli, 2007. "Option Pricing and Spikes in Volatility: Theoretical and Empirical Analysis," Discussion Papers 07/08, Department of Economics, University of York.
More about this item
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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