Natalia Nehrebecka

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Option Pricing Models with HF Data - A Comparative Study - The Properties of the Black Model with Different Volatility Measures

University of Warsaw, Economic Sciences Working Paper No. 3/2010
Number of pages: 33 Posted: 13 May 2011
Ryszard Kokoszczynski, Ryszard Kokoszczynski, Paweł Sakowski, Robert Ślepaczuk, Pawel Strawinski and Natalia Nehrebecka
Warsaw University - Dept. of EconomicsNational Bank of Poland, University of Warsaw, University of Warsaw - Faculty of Economic Sciences, University of Warsaw, Department of Economics and affiliation not provided to SSRN
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option pricing models, financial market volatility, high-frequency financial data, realized volatility, implied volatility, microstructure bias, emerging markets