Development of high-frequency volatility estimators in pricing and trading stock options
Asset return volatility plays a key role in derivative pricing and hedging, risk management and portfolio allocation decisions. This study examined the economic benefit of high-frequency volatility estimators (measures realized) in option pricing and trading. We evaluated the forecasting ability of...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Peter the Great St. Petersburg Polytechnic University
2022-04-01
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| Series: | π-Economy |
| Subjects: | |
| Online Access: | https://economy.spbstu.ru/article/2022.94.09/ |