A realized volatility approach to option pricing with continuous and jump variance components
Author:
Publisher
Springer Science and Business Media LLC
Subject
General Economics, Econometrics and Finance,Finance
Link
http://link.springer.com/content/pdf/10.1007/s10203-019-00241-2.pdf
Reference47 articles.
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3. Bandi, F.M., Renò, R.: Price and volatility co-jumps. J. Financ. Econ. 119, 107–146 (2016)
4. Barndorff-Nielsen, O.E., Shephard, N.: Power and bipower variation with stochastic volatility and jumps. J. Financ. Econom. 2(1), 1–37 (2004)
5. Barndorff-Nielsen, O.E., Shephard, N.: Econometrics of testing for jumps in financial economics using bipower variation. J. Financ. Econom. 4(1), 1–30 (2006)
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