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The fine structure of equity-index option dynamics · Study

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ArticleThe fine structure of equity-index option dynamics

Torben G. Andersen2015

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Articlebronze2015

The fine structure of equity-index option dynamics

Torben G. Andersen · Oleg Bondarenko · Viktor Todorov · George E. Tauchen

25 citations·0/0 files stored·Journal of Econometrics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 2005Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation 1987Efficient Analytic Approximation of American Option Values 2003Stochastic Volatility for Lévy Processes 2007Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics 2011Tails, Fears, and Risk Premia 2008Microstructure noise in the continuous case: The pre-averaging approach 2009Testing for jumps in a discretely observed process

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Details

Year2015

Typearticle

Published2015-03-10

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations25

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jeconom.2015.02.037

openalex_workW3022226261

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