Matching non-synchronous observations in derivative markets: choosing windows and efficient estimators

DOI10.1080/14697680903386355zbMath1241.91115OpenAlexW2030744374MaRDI QIDQ2893074

Jimmy E. Hilliard, Jitka Hilliard

Publication date: 25 June 2012

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680903386355

zbMATH Keywords

American optionsBlack-Scholes modelapplied econometricsapplied investment analysisAmerican style derivative securitiesapplied mathematical finance

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Out of sample forecasts of quadratic variation
• Microstructure Noise, Realized Variance, and Optimal Sampling
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data

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