Realized bipower variation, jump components, and option valuation-Reference-Cited by-同舟云学术

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Realized bipower variation, jump components, and option valuation

Published:2021-10-29 Issue:12 Volume:41 Page:1933-1958
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:J Futures Markets

Author:

Pan Zhiyuan¹^ORCID,Wang Yudong²^ORCID,Liu Li³

Affiliation:

1. Institute of Chinese Financial Studies, Southwestern University of Finance and Economics, Collaborative Innovation Center of Financial Security Chengdu China

2. School of Economics and Management Nanjing University of Science and Technology Nanjing China

3. School of Finance Nanjing Audit University Nanjing China

Funder

National Natural Science Foundation of China

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/fut.22268

Reference44 articles.

1. A jump and smile ride: Jump and variance risk premia in option pricing;Alitab D.;Journal of Financial Econometrics,2020

2. Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts

3. The distribution of realized stock return volatility

4. The Distribution of Realized Exchange Rate Volatility

5. Modeling and Forecasting Realized Volatility

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Jump dynamics, spillover effect and option valuation;The North American Journal of Economics and Finance;2022-11

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