Midquotes or Transactional Data? The Comparison of Black Model on HF Data
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References listed on IDEAS
- Corrado, Charles J & Su, Tie, 1996.
"Skewness and Kurtosis in S&P 500 Index Returns Implied by Option Prices,"
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Southern Finance Association;Southwestern Finance Association, vol. 19(2), pages 175-192, Summer.
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- Katarzyna Toporek, 2012. "Simple is better. Empirical comparison of American option valuation methods," Ekonomia journal, Faculty of Economic Sciences, University of Warsaw, vol. 29.
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Keywordsoption pricing models; financial market volatility; high-frequency financial data; midquotes data; transactional 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
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