Bias reduction in spot volatility estimation from options

DOI10.1016/j.jeconom.2021.12.001OpenAlexW4200395581MaRDI QIDQ2697974

Yanyan Li

Publication date: 14 April 2023

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2021.12.001

zbMATH Keywords

optionsjumpscharacteristic functionhigher-order asymptotic expansionvolatility estimation

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (1)

Volatility of volatility and leverage effect from options

Cites Work

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