Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data

As a means of validating an option pricing model, we compare the ex-post intra-day realized variance of options with the realized variance of the associated underlying asset that would be implied using assumptions as in the Black and Scholes (BS) model, the Heston, and the Bates model. Based on data...

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Veröffentlicht in:	Journal of banking & finance 2015-12, Vol.61, p.46-63
Hauptverfasser:	Audrino, Francesco, Fengler, Matthias R.
Format:	Artikel
Sprache:	eng
Schlagworte:	Approximation Comparative analysis High frequency data High frequency trading Jump diffusion Option pricing Realized variance Securities prices Stochastic models Stochastic volatility Studies
Online-Zugang:	Volltext
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