Option Pricing using Realized Volatility
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- Drobyshevsky Sergey & Turuntseva Marina & Bobylev Yuri & Rasenko O. & Bozhechkova Alexandra & Trunin Pavel & Knobel Alexander & Firanchuk Alexander & Khromov Mikhail & Averkiev Vladimir & Shagaida Nat, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 28, pages 1-28, June.
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Citations
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Cited by:- Masato Ubukata & Toshiaki Watanabe, 2014. "Pricing Nikkei 225 Options Using Realized Volatility," The Japanese Economic Review, Japanese Economic Association, vol. 65(4), pages 431-467, December.
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More about this item
Keywords
Option Pricing; Realized Volatility; Stochastic Volatility; GARCH;
All these keywords.JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2008-06-27 (Financial Markets)
- NEP-MST-2008-06-27 (Market Microstructure)
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