Information about price and volatility jumps inferred from option prices

Conference paper

Stephen J. Taylor, 祺峰曾 and Martin Widdicks

16th International Conference on Computing in Economics and Finance (CEF2010)

07/2010

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: 9957777257706774
Academic Unit: Department of Quantitative Finance, College of Technology Management, National Tsing Hua University
Language: English
Resource Type: Conference paper
Publication Details: 16th International Conference on Computing in Economics and Finance (CEF2010)