Extracting Latent States from High Frequency Option Prices


We propose the realized option variance as a new observable variable to integrate high frequency option prices in the inference of option pricing models. Using simulation and empirical studies, this paper documents the... [ view full abstract ]


  1. Diego Amaya (Wilfrid Laurier University)
  2. Jean-Francois Begin (Simon Fraser University)
  3. Genevieve Gauthier (HEC Montreal)

Topic Areas

High-Frequency Trading , Jump-Diffusions , Options


FR-A-BU » Variance, Implied Volatility and Pricing (10:00 - Friday, 20th July, Burke Theater)

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