Persistent and transient variance components in option pricing models with variance-dependent Kernel-Reference-Cited by-同舟云学术

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Persistent and transient variance components in option pricing models with variance-dependent Kernel

Published:2024-08 Issue: Volume: Page:101531
ISSN:0927-5398
Container-title:Journal of Empirical Finance
language:en
Short-container-title:Journal of Empirical Finance

Author:

Ghanbari Hamed

Publisher

Elsevier BV

Reference65 articles.

1. Stock returns and volatility: Pricing the short-run and long-run components of market risk;Adrian;J. Finance,2008

2. Maximum likelihood estimation of stochastic volatility models;Ait-Sahalia;J. Financ. Econ.,2007

3. Range-based estimation of stochastic volatility models;Alizadeh;J. Finance,2002

4. Pricing of index options in incomplete markets;Almeida;J. Financ. Econ.,2022

5. The informational content of high-frequency option prices;Amaya;Manage. Sci.,2022

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