Empirical performance of a model-free volatility against the different option strike size discreteness

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Empirical performance of a model-free volatility against the different option strike size discreteness

This study investigates whether the dierent step size of option strike price discreteness contributes to the performance of a model-free variance in approximating the real-value volatility. The volatility is proxied by the volatility implied by the Black-Scholes-Merton option pricing model. We con...

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Bibliographic Details
Main Authors:	Harun, Hanani Farhah, Abdullah, Mimi Hafizah
Format:	Article
Language:	English English
Published:	2019
Subjects:	QA276 Mathematical Statistics
Online Access:	http://irep.iium.edu.my/79640/ http://irep.iium.edu.my/79640/1/Empirical%20Performance%20of%20a%20Model-Free%20Volatility%20.pdf http://irep.iium.edu.my/79640/7/79640_Empirical%20Performance%20of%20a%20Model-Free%20Volatility_WOS.pdf

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