Cite

Ait-Sahalia, Y., P.A. Mykland, 2009, Estimating Volatility in the Presence of Market Microstructure Noise: A Review of the Theory and Practical Considerations, in: T.G. Andersen, R.A. Davis, J.-P. Kreiss, T. Mikosch (eds.), Handbook of Financial Time Series, Springer, Berlin.Ait-SahaliaY.MyklandP.A.2009Estimating Volatility in the Presence of Market Microstructure Noise: A Review of the Theory and Practical ConsiderationsAndersenT.G.DavisR.A.KreissJ.-P.MikoschT.(eds.)Handbook of Financial Time SeriesSpringerBerlin10.1007/978-3-540-71297-8_25Search in Google Scholar

Amin, K., R. Jarrow, 1992, Pricing options on risky assets in a stochastic interest rate economy, Mathematical Finance 2, 217–237.AminK.JarrowR.1992Pricing options on risky assets in a stochastic interest rate economyMathematical Finance2217–23710.1142/9789812819222_0015Search in Google Scholar

An, Y., W.Suo, 2009, An Empirical Comparison of Option Pricing Models in Hedging Exotic Options, Financial Management, 38, 889–914.AnY.SuoW.2009An Empirical Comparison of Option Pricing Models in Hedging Exotic OptionsFinancial Management38889–91410.1111/j.1755-053X.2009.01060.xSearch in Google Scholar

Andersen, T.G., P.Frederiksen, A.D.Staal, 2007, The information content of realized volatility forecasts, mimeo.AndersenT.G.FrederiksenP.StaalA.D.2007The information content of realized volatility forecastsmimeoSearch in Google Scholar

Bates, D., 1995, Testing Option Pricing Models, NBER Working Paper No. 5129.BatesD.1995Testing Option Pricing ModelsNBER Working Paper No. 512910.3386/w5129Search in Google Scholar

Bates, D.S., 2003, Empirical option pricing: a retrospection, Journal of Econometrics, 16, 387–404.BatesD.S.2003Empirical option pricing: a retrospectionJournal of Econometrics16387–40410.1016/S0304-4076(03)00113-1Search in Google Scholar

Beygelman, R., 2005, Bid-Ask Spreads and Asymmetry of Option Prices, Goethe University, Frankfurt, mimeo.BeygelmanR.2005Bid-Ask Spreads and Asymmetry of Option PricesGoethe UniversityFrankfurt, mimeoSearch in Google Scholar

Black F., 1976, The pricing of commodity contracts, Journal of Financial Economics, 3, 167–179.BlackF.1976The pricing of commodity contractsJournal of Financial Economics3167–17910.1016/0304-405X(76)90024-6Search in Google Scholar

Black, F., Scholes, M., 1973, The pricing of options and corporate liabilities, Journal of Political Economy, 81, 637–659.BlackF.ScholesM.1973The pricing of options and corporate liabilitiesJournal of Political Economy81637–65910.1142/9789814759588_0001Search in Google Scholar

Bollerslev, T., R. Chou, K. Kroner, 1992, ARCH modelling in finance: A review of the theory and empirical evidence. Journal of Econometrics, 52, 5–59.BollerslevT.ChouR.KronerK.1992ARCH modelling in finance: A review of the theory and empirical evidenceJournal of Econometrics5255910.1016/0304-4076(92)90064-XSearch in Google Scholar

Bollerslev, T., R. Engle, D. Nelson, 1994, ARCH model; w: R. Engle, D. McFadden (eds.), Handbook of Econometrics, Vol. IV, Elsevier, Amsterdam.BollerslevT.EngleR.NelsonD.1994ARCH modelEngleR.McFaddenD.(eds.)Handbook of EconometricsIVElsevierAmsterdamSearch in Google Scholar

Bollerslev, T., R.F. Engle, J.M. Wooldridge, 1988, A Capital Asset Pricing Model with Time Varying Covariances, Journal of Political Economy, 96, 116–131.BollerslevT.EngleR.F.WooldridgeJ.M.1988A Capital Asset Pricing Model with Time Varying CovariancesJournal of Political Economy96116–13110.1086/261527Search in Google Scholar

Brandt, M.W., T. Wu, 2002, Cross-sectional tests of deterministic volatility functions, Journal of Empirical Finance, 9, 525–550.BrandtM.W.WuT.2002Cross-sectional tests of deterministic volatility functionsJournal of Empirical Finance9525–55010.1016/S0927-5398(02)00009-9Search in Google Scholar

Broadie, M., J.B. Detemple, 2004, Option Pricing: Valuation Models and Applications, Management Science, 50, 1145–1177.BroadieM.DetempleJ.B.2004Option Pricing: Valuation Models and ApplicationsManagement Science501145–117710.1287/mnsc.1040.0275Search in Google Scholar

Campbell, J., L. Hentschel, 1992, No news is good news: An asymmetric model of changing volatility in stock returns, Journal of Financial Economics, 31, 281–318.CampbellJ.HentschelL.1992No news is good news: An asymmetric model of changing volatility in stock returnsJournal of Financial Economics31281–31810.3386/w3742Search in Google Scholar

Christoffersen, P., K. Jacobs, 2004, The Importance of the Loss Function in Option Valuation, Journal of Financial Economics, 6, 213–234.ChristoffersenP.JacobsK.2004The Importance of the Loss Function in Option ValuationJournal of Financial Economics6213–10.2139/ssrn.424461Search in Google Scholar

Corrado, C., S. Tie, 1996, Skewness and kurtosis in S&P 500 index returns implied by option prices, Journal of Financial Research, 19, 175–192.CorradoC.TieS.1996Skewness and kurtosis in S&P 500 index returns implied by option pricesJournal of Financial Research19175–10.1111/j.1475-6803.1996.tb00592.xSearch in Google Scholar

Dennis, P., S. Mayhew, 2009, Microstructural biases in empirical tests of option pricing models, Review of Derivatives Research, 12, 169–191.DennisP.MayhewS.2009Microstructural biases in empirical tests of option pricing modelsReview of Derivatives Research12169–10.1007/s11147-009-9039-0Search in Google Scholar

Derman, E., I. Kani, 1994, Riding on a smile, RISK, 7, 32–39.DermanE.KaniI.1994Riding on a smileRISK732–10.1119/1.2343977Search in Google Scholar

Duan, J.-C., 1995, The GARCH option pricing model, Mathematical Finance, 5, 13–32.DuanJ.-C.1995The GARCH option pricing modelMathematical Finance513–10.1111/j.1467-9965.1995.tb00099.xSearch in Google Scholar

Duan, J.-C., P. Ritchken, Z. Sun, 2004, Jump starting GARCH: Pricing and hedging options with jumps in returns and volatilities, manuscript, University of Toronto.DuanJ.-C.RitchkenP.SunZ.2004Jump starting GARCH: Pricing and hedging options with jumps in returns and volatilities, manuscriptUniversity of Toronto10.2139/ssrn.479483Search in Google Scholar

Dupire, B., 1994, Pricing with a smile, RISK 7, 18–20.DupireB.1994Pricing with a smileRISK718–20Search in Google Scholar

Ferreira, E., M.Gago, A.Leon, G. Rubio, 2005, An empirical comparison of the performance of alternative option pricing model, Investigaciones Economicas, 29, 483–523.FerreiraE.GagoM.LeonA.RubioG.2005An empirical comparison of the performance of alternative option pricing modelInvestigaciones Economicas29483–Search in Google Scholar

Fiszeder, P., 2008, Pricing the WIG20 Index Options Using GARCH Models, a paper presented at the conference Forecasting Financial Markets and Economic Decision-making, Łódź, 14–17 May 2008.FiszederP.2008Pricing the WIG20 Index Options Using GARCH Models, a paper presented at the conference Forecasting Financial Markets and Economic Decision-makingŁódź14–17May 2008Search in Google Scholar

French, K., G. W. Schwert, R. Stambaugh, 1987, Expected stock returns and volatility. Journal of Financial Economics, 19, 3–30.FrenchK.SchwertG. W.StambaughR.1987Expected stock returns and volatilityJournal of Financial Economics1933010.1016/0304-405X(87)90026-2Search in Google Scholar

Fung, J.K.W., H.M.K. Mok, 2001, Index Options-Futures Arbitrage: A Comparative Study with Bid-Ask and Transaction Data, BRC Papers on Financial Derivatives and Investment Strategies, Hong Kong Baptist University.FungJ.K.W.MokH.M.K.2001Index Options-Futures Arbitrage: A Comparative Study with Bid-Ask and Transaction Data, BRC Papers on Financial Derivatives and Investment StrategiesHong Kong Baptist University10.1111/j.1540-6288.2001.tb00005.xSearch in Google Scholar

Garcia, R., E. Renault, 1998, A note on hedging in ARCH and stochastic volatility option pricing models, Mathematical Finance, 8, 153–161.GarciaR.RenaultE.1998A note on hedging in ARCH and stochastic volatility option pricing modelsMathematical Finance8153–10.1111/1467-9965.00049Search in Google Scholar

Garcia, R., E. Ghysels, E. Renault, 2010, The econometrics of option pricing, in: Y. Ait-Sahalia, L. Hansen (eds.), Handbook of financial econometrics, North Holland, Oxford and Amsterdam.GarciaR.GhyselsE.RenaultE.2010The econometrics of option pricingAit-SahaliaY.HansenL.(eds.)Handbook of financial econometricsNorth HollandOxford and Amsterdam10.1016/B978-0-444-50897-3.50012-2Search in Google Scholar

Glosten, L., R. Jagannathan, D. Runkle, 1993, On the relation between the expected value and the volatility of the nominal excess return on stocks, Journal of Finance, 8, 1779–1801.GlostenL.JagannathanR.RunkleD.1993On the relation between the expected value and the volatility of the nominal excess return on stocksJournal of Finance81779–10.1111/j.1540-6261.1993.tb05128.xSearch in Google Scholar

Han, C., 2008, The Comparisons between Three Option Pricing Models and Black-Scholes Formula in Pricing Performance and Trading Strategy: Evidence from the FTSE 100 Options, Master Thesis, National Chung Cheng University.HanC.2008The Comparisons between Three Option Pricing Models and Black-Scholes Formula in Pricing Performance and Trading Strategy: Evidence from the FTSE 100 Options, Master ThesisNational Chung Cheng UniversitySearch in Google Scholar

Hansen, P., and Lunde, A., 2004, A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1) Model?, Journal of Applied Econometrics, 20,873–889.HansenP.LundeA.2004A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1) Model?Journal of Applied Econometrics20873–88910.1002/jae.800Search in Google Scholar

Heston, S.L., 1993, A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options, Review of Financial Studies, 6, 327–343.HestonS.L.1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency OptionsReview of Financial Studies6327–10.1093/rfs/6.2.327Search in Google Scholar

Hull, J., A. White, 1987, The Pricing of Options with Stochastic Volatilities, Journal of Finance, 42, 281–300.HullJ.WhiteA.1987The Pricing of Options with Stochastic VolatilitiesJournal of Finance42281–10.1111/j.1540-6261.1987.tb02568.xSearch in Google Scholar

Iaquinta, G., 2007, The analysis of the perpetual option markets: Theory and evidence, Bergamo University, unpublished Ph.D. thesis.IaquintaG.2007The analysis of the perpetual option markets: Theory and evidenceBergamo Universityunpublished Ph.D. thesisSearch in Google Scholar

Jarrow, R., A. Rudd, 1982, Approximate option valuation for arbitrary stochastic processes, Journal of Financial Economics, 10, 347–369.JarrowR.RuddA.1982Approximate option valuation for arbitrary stochastic processesJournal of Financial Economics10347–10.1142/9789812819222_0001Search in Google Scholar

Kanoh, S., A. Takeuchi, 2006, An Analysis of Option Pricing in the Japanese Market, Discussion Paper Series No. 145, Hitotsubashi University.KanohS.TakeuchiA.2006An Analysis of Option Pricing in the Japanese MarketDiscussion Paper Series No. 145Hitotsubashi UniversitySearch in Google Scholar

Kokoszczyński, R., N. Nehrebecka, P. Sakowski, P. Strawiński, R. Ślepaczuk, 2010a, Option Pricing Models with HF Data – a Comparative Study. The Properties of the Black Model with Different Volatility Measures, University of Warsaw, Faculty of Economic Sciences, Working Papers 3/2010.KokoszczyńskiR.NehrebeckaN.SakowskiP.StrawińskiP.ŚlepaczukR.2010aOption Pricing Models with HF Data – a Comparative Study. The Properties of the Black Model with Different Volatility MeasuresUniversity of Warsaw, Faculty of Economic Sciences, Working Papers 3/201010.2139/ssrn.1832227Search in Google Scholar

Kokoszczyński, R., P. Sakowski, R. Ślepaczuk, 2010b, Midquotes or Transactional Data? The Comparison of Black Model on HF Data, University of Warsaw, Faculty of Economic Sciences,Working Papers 15/2010.KokoszczyńskiR.SakowskiP.ŚlepaczukR.2010bMidquotes or Transactional Data? The Comparison of Black Model on HF DataUniversity of Warsaw, Faculty of Economic Sciences,Working Papers 15/201010.2139/ssrn.1832226Search in Google Scholar

Li, S., 2006, The Arbitrage Efficiency of the Nikkei 225 Options Market: A Put-Call Parity Analysis, Monetary and Economic Studies (Bank of Japan), November, 33–54.LiS.2006The Arbitrage Efficiency of the Nikkei 225 Options Market: A Put-Call Parity Analysis, Monetary and Economic Studies (Bank of Japan)November33–54Search in Google Scholar

Lim, Guay, Gael Martin and Vance Martin, 2005, Parametric pricing of higher order moments in S&P options, Journal of Applied Econometrics, 20, 377–404.LimGuay, Gael MartinVanceMartin2005Parametric pricing of higher order moments in S&P optionsJournal of Applied Econometrics20377–10.1002/jae.762Search in Google Scholar

Maheu, J., T. McCurdy, 2004, News arrival, jump dynamics and volatility components for individual stock returns, Journal of Finance, 59, 755–779.MaheuJ.McCurdyT.2004News arrival, jump dynamics and volatility components for individual stock returnsJournal of Finance59755–10.1111/j.1540-6261.2004.00648.xSearch in Google Scholar

Mitra, S., 2009, A Review of Volatility and Option Pricing, arXiv:0904.1292v1.MitraS.2009A Review of Volatility and Option PricingarXiv:0904.1292v110.1504/IJFMD.2010.032470Search in Google Scholar

Mitsui, H., K. Satoyoshi, 2010, Empirical Study of Nikkei 225 Option with Markov Switching GARCH Model, Asia-Pacific Financial Markets, On-Line First.MitsuiH.SatoyoshiK.2010Empirical Study of Nikkei 225 Option with Markov Switching GARCH ModelAsia-Pacific Financial MarketsOn-Line First10.1007/s10690-010-9120-6Search in Google Scholar

Mixon, S., 2009, Option markets and implied volatility: Past versus present, Journal of Financial Economics, 94, 171–191.MixonS.2009Option markets and implied volatility: Past versus presentJournal of Financial Economics94171–10.1016/j.jfineco.2008.09.010Search in Google Scholar

Pagan, A., G. W. Schwert, 1990, Alternative models for conditional stock volatility, Journal of Econometrics, 45, 267–290.PaganA.SchwertG. W.1990Alternative models for conditional stock volatilityJournal of Econometrics45267–10.3386/w2955Search in Google Scholar

Raj, M., D.C. Thurston, 1998, Transactions data examination of the effectiveness of the Black model for pricing options on Nikkei index futures, Journal of Financial and Strategic Decisions, 11, 37–45.RajM.ThurstonD.C.1998Transactions data examination of the effectiveness of the Black model for pricing options on Nikkei index futuresJournal of Financial and Strategic Decisions1137–Search in Google Scholar

Ritchken, P., R. Trevor, 1999, Pricing options under generalized GARCH and stochastic volatility processes, Journal of Finance, 54, 377–402.RitchkenP.TrevorR.1999Pricing options under generalized GARCH and stochastic volatility processesJournal of Finance54377–10.1111/0022-1082.00109Search in Google Scholar

Rubinstein, M., 1985, Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 through August 31, 1978, Journal of Finance, 40, 455–480.RubinsteinM.1985Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 through August 31, 1978Journal of Finance40455–10.1111/j.1540-6261.1985.tb04967.xSearch in Google Scholar

Rubinstein, Mark, 1998, Edgeworth binominal trees, Journal of Derivatives, 5, 20–27.RubinsteinMark,1998Edgeworth binominal treesJournal of Derivatives520–10.3905/jod.1998.407994Search in Google Scholar

Sakowski P., 2011, Wycena opcji indeksowych na danych wysokiej częstotliwości. Analiza porównawcza (Index option pricing using high-frequency data. A comparative analysis), PhD thesis, University of Warsaw, Faculty of Economic Sciences.SakowskiP.2011Wycena opcji indeksowych na danych wysokiej częstotliwościAnaliza porównawcza (Index option pricing using high-frequency data. A comparative analysis), PhD thesisUniversity of Warsaw, Faculty of Economic SciencesSearch in Google Scholar

Stein, E., J. Stein, 1991, Stock Price Distributions with Stochastic Volatility: An Analytic Approach, Review of Financial Studies, IV, 727–752.SteinE.SteinJ.1991Stock Price Distributions with Stochastic Volatility: An Analytic ApproachReview of Financial StudiesIV727–75210.1093/rfs/4.4.727Search in Google Scholar

Ślepaczuk R., G.Zakrzewski, 2009, High-frequency and model-free volatility estimators, University of Warsaw, Faculty of Economic Sciences, Working Papers 13/2009.ŚlepaczukR.ZakrzewskiG.2009High-frequency and model-free volatility estimatorsUniversity of Warsaw, Faculty of Economic Sciences, Working Papers 13/200910.2139/ssrn.2508648Search in Google Scholar

Tsiaras, L., 2009, The Forecast Performance of Competing Implied Volatility Measures: The Case of Individual Stocks, Aarhus University, mimeo.TsiarasL.2009The Forecast Performance of Competing Implied Volatility Measures: The Case of Individual StocksAarhus University, mimeo10.2139/ssrn.1344913Search in Google Scholar

Yao, J., Y. Li, C.L. Tan, 2000, Option price forecasting using neural networks, Omega, 28, 455–466.YaoJ.LiY.TanC.L.2000Option price forecasting using neural networksOmega28455–10.1016/S0305-0483(99)00066-3Search in Google Scholar

Wei, J.Z., 1995, Empirical Tests of the Pricing of Nikkei Put Warrants, The Financial Review, 30, 211–241.WeiJ.Z.1995Empirical Tests of the Pricing of Nikkei Put WarrantsThe Financial Review30211–10.1111/j.1540-6288.1995.tb00831.xSearch in Google Scholar

Zivot E., 2008, Practical issues in the analysis of univariate GARCH models, University of Washington working papers: http://faculty.washington.edu/ezivot/research/practicalgarchfinal.pdfZivotE.2008Practical issues in the analysis of univariate GARCH modelsUniversity of Washington working papershttp://faculty.washington.edu/ezivot/research/practicalgarchfinal.pdf10.1007/978-3-540-71297-8_5Search in Google Scholar