A Stochastic Volatility Model With Realized Measures for Option Pricing-Reference-Cited by-同舟云学术

A Stochastic Volatility Model With Realized Measures for Option Pricing

Author:

Bormetti Giacomo¹^ORCID,Casarin Roberto²,Corsi Fulvio³⁴,Livieri Giulia⁵

Affiliation:

1. Department of Mathematics, University of Bologna, Piazza di Porta S. Donato, 5, 40126, Bologna, Italy ();

2. Department of Economics, Ca’ Foscari University of Venice, Fondamenta S. Giobbe, 873, Venezia, Italy ();

3. Department of Economics and Management, University of Pisa, Via Cosimo Ridolfi, 10, 56124, Pisa, Italy;

4. Department of Economics, City University London, Northampton Square, EC1V 0HB, London, UK ();

5. Scuola Normale Superiore, Piazza dei Cavalieri, 7, 56126, Pisa, Italy ()

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability

Link

Reference72 articles.

5. Andersen, T. G., Dobrev, D., and Schaumburg, E. (2008), “Duration Based Volatility Estimation,” Working Paper.

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