Option Pricing Models with HF Data – a Comparative Study. The Properties of Black Model with Different Volatility Measures
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References listed on IDEAS
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More about this item
Keywordsoption pricing models; financial market volatility; high-frequency financial data; realized volatility; implied volatility; microstructure bias; emerging markets;
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-04-17 (All new papers)
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