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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| Main Authors: | , |
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| Format: | Article |
| Language: | English English |
| Published: |
2019
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| Subjects: | |
| Online Access: | 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 http://irep.iium.edu.my/79640/ |
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| Institution: | Universiti Islam Antarabangsa Malaysia |
| Language: | English English |
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