Monte Carlo option pricing with asymmetric realized volatility dynamics
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DOI: 10.1016/j.matcom.2010.06.010
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- Ledermann, Daniel & Alexander, Carol, 2012. "Further properties of random orthogonal matrix simulation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 83(C), pages 56-79.
- Chen, Jilong & Xu, Liao & Xu, Hao, 2022. "The impact of COVID-19 on commodity options market: Evidence from China," Economic Modelling, Elsevier, vol. 116(C).
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Keywords
Realized volatility; Option pricing; Volatility of volatility; Leverage effects;All these keywords.
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