Dario Alitab

Scuola Normale Superiore

Piazza dei Cavalieri, 7

Pisa, 56126

Italy

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A Jump and Smile Ride: Jump and Variance Risk Premia in Option Pricing

Number of pages: 46 Posted: 17 Jul 2015 Last Revised: 10 Mar 2019
Scuola Normale Superiore, University of Bologna - Department of Mathematics, University of Pisa - Department of Economics and Capital Fund Management
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Abstract:

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High-frequency, Realized volatility, HARG, Option pricing, Variance risk premium, Jumps