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Keywords: TSRV
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Journal Articles
Journal:
Managerial Finance
Managerial Finance (2015) 41 (8): 857–870.
Published: 10 August 2015
...Shivam Singh; Vipul . Purpose – The purpose of this paper is to test the pricing performance of Black-Scholes (B-S) model, with the volatility of the underlying estimated with the two-scale realised volatility measure (TSRV) proposed by Zhang et al. (2005). Design/methodology...
