Assessing the quality of volatility estimators via option pricing
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Publication:2509440
DOI10.1515/snde-2012-0075zbMath1292.91195OpenAlexW3123901503MaRDI QIDQ2509440
Simona Sanfelici, Adamo Uboldi
Publication date: 28 July 2014
Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/snde-2012-0075
Statistical methods; risk measures (91G70) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)
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