Information about price and volatility jumps inferred from option prices

Conference paper

Information about price and volatility jumps inferred from option prices

Stephen J. Taylor, 祺峰曾 and Martin Widdicks

2013 FMA Annual Meeting

10/2013

Abstract

Price jumps;Volatility jumps;High-frequency prices;Jump risk premia

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Title: Information about price and volatility jumps inferred from option prices
Creators - without role: Stephen J. Taylor
祺峰曾
Martin Widdicks
Identifiers: 9957773879706774
Academic Unit: Department of Quantitative Finance, College of Technology Management, National Tsing Hua University
Language: English
Resource Type: Conference paper
Publication Details: 2013 FMA Annual Meeting