Giacomo Bormetti
Biographic Data
| ID | 8921332 |
|---|---|
| NAME | Giacomo Bormetti |
| GIVEN NAMES | Giacomo |
| FAMILY NAME | Bormetti |
| SIGNATURE | BORMETTI G |
| AFFILIATIONS | University of Bologna |
| ORCID | 0000-0003-3542-2505 |
| VERIFIED | Yes |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 1 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2020 |
| LATEST PUBLICATION YEAR | 2020 |
| H-INDEX | 0 |
A Stochastic Volatility Model With Realized Measures for Option Pricing
Based on the fact that realized measures of volatility are affected by measurement errors, we introduce a new family of discrete-time stochastic volatility models having two measurement equations relating both observed returns and realized measures to the latent conditional variance. A semi-analytical option pricing framework is developed for this class of models. In addition, we provide analytical filtering and smoothing recursions for the basic…
No prominent works on this page.
A Stochastic Volatility Model With Realized Measures for Option Pricing
Based on the fact that realized measures of volatility are affected by measurement errors, we introduce a new family of discrete-time stochastic volatility models having two measurement equations relating both observed returns and realized measures to the latent conditional variance. A semi-analytical option pricing framework is developed for this class of models. In addition, we provide analytical filtering and smoothing recursions for the basic…
Art (1 work) · Complex Systems and Time Series Analysis (1 work) · Econometrics (1 work) · Economics (1 work) · Financial Risk and Volatility Modeling (1 work) · Humanities (1 work) · Keynesian economics (1 work) · Schools of economic thought (1 work) · Stochastic processes and financial applications (1 work)