Model-based quantification of the volatility of options at transaction level with extended count regression models

Applied Stochastic Models in Business and Industry

Volumn 23, Issue 1, 2007, Pages 1-21

  Czado, Claudia ^a   Kolbe, Andreas ^a  

^a TECHNICAL UNIVERSITY OF MUNICH   (Germany)

Author keywords

Absolute returns; Autocorrelation; DIC; Index options; Markov Chain Monte Carlo; Poisson regression; Quotation data

Indexed keywords

COMPUTER SIMULATION; MARKOV PROCESSES; MATHEMATICAL MODELS; MONTE CARLO METHODS; REGRESSION ANALYSIS; RISK ASSESSMENT;

ABSOLUTE RETURNS; AUTOCORRELATION; INDEX OPTIONS; MARKOV CHAIN MONTE CARLO; POISSON REGRESSION; QUOTATION DATA;

SECURITY SYSTEMS;

EID: 33847193493     PISSN: 15241904     EISSN: 15264025     Source Type: Journal    
DOI: 10.1002/asmb.634     Document Type: Article

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