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Realized Volatility Prediction
2021 2nd European Symposium on Software Engineering, 2021Sabrina Wing-Yi Chio +2 more
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Volatility: Expectations and Realizations [PDF]
, 2012 Embedded in option prices are market expectations regarding future volatility. While the assumption of rational expectations has been a popular paradigm, it is difficult to ignore the subjective nature of expectations. The objective of this paper is to make market expectations visible as they evolve over time, and to price options in line with ...
Peters, R., van der Weide, R.
openaire
A Simple Approximate Long-Memory Model of Realized Volatility
, 2008F. Corsi
semanticscholar +1 more source
Transaction activity and bitcoin realized volatility
Operations Research Letters, 2021Konstantinos Gkillas +2 more
semanticscholar +1 more source
Realizing Smiles: Pricing Options with Realized Volatility
2009We develop a stochastic volatility option pricing model that exploits the informative content of historical high frequency data. Using the Two Scales Realized Volatility as a proxy for the unobservable returns volatility, we propose a simple (affine) but effective long-memory process: the Heterogeneous Auto-Regressive Gamma (HARG) model.
Fulvio CORSI +2 more
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Neural Network–Based Financial Volatility Forecasting: A Systematic Review
ACM Computing Surveys, 2023Wenbo Ge
exaly