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Homeen-gbOption pricing using high-frequency futures pricesThe authors examine two potential routes to improve the outcome of option pricing: extracting the variance from futures prices instead of the underlying asset prices, and calculating the variance in different frequencies with intraday data instead of daily closing prices.
https://www.risk.net/journal-of-risk/7834591/option-pricing-using-high-frequency-futures-prices
https://www.risk.net/journal-of-risk/7834591/option-pricing-using-high-frequency-futures-prices
Thu, 20 May 2021 11:04:54 +0100