Realizing smiles: Options pricing with realized volatility

By Fulvio Corsi, Nicola Fusari, Davide La Vecchia. 2013

129 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/7c9bda7f624d13f4aec90913b19f6fa7f297efe8

Citations in the corpus

• Pricing under rough volatility (2015, unknown): “Integrated variance forecasts must therefore be rescaled to obtain close-to-close integrated variance forecasts as explained for example in Corsi et al. (2013) or alternatively using an econometric model such as the HEAVY model of Noureldin et al.”
• Option Valuation with Observable Volatility and Jump Dynamics (2015, unknown): “Et [exp (uRt+1 + v ht+1)] = exp BB@ u r + z 1 2 hz;t + ( y )hy;t + v0 (! + bht) +v1 (hz;t (1 + (2)hz;t)) 1 2 ln (1 2 v1) + v1 2 + 1 2 (1 (2))u(2) + (u 2 v1 ) 2 2(1 2 v1) hz;t + (e v3 1)hy;t (1)CCA exp A (u; v) ht +B (u; v) ; (17) 6The detailed regression results are not reported in the tables but ar”