Empirical performance of a model-free volatility against the different option strike size discreteness
This study investigates whether the different 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 co...
| Main Authors: | , |
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| Format: | Conference or Workshop Item |
| Language: | English |
| Published: |
2018
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| Subjects: | |
| Online Access: | http://irep.iium.edu.my/73560/ http://irep.iium.edu.my/73560/12/73560%20programme%20and%20unpublished%20paper.pdf |