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Three essays in option pricing

Fusari, Nicola ; Barone Adesi, Giovanni (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2009 ; 2009ECO002.

The present work explores the option pricing world under three different perspectives: theoretical models, numerical methods and real options. In the ﬁrst chapter we develop a novel option pricing model. We deﬁne a stochastic volatility process for the underlying evolution using the realized volatility as a proxy of the true but unobservable volatility of the underlying. That reduces...

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Measuring and modelling realized volatility : from tick-by-tick to long memory

Corsi, Fulvio ; Barone Adesi, Giovanni (Dir.) ; Audrino, Francesco (Codir.)

Thèse de doctorat : Università della Svizzera italiana, 2005 ; 2005ECO004.

This study develops new realized volatility and correlation estimators which, while fully exploiting all the available information contained in tick-by-tick data, effectively correct for the bias induced by microstructure effects. Building on such high frequency measures, it also proposes new conditional volatility models able to provide accurate and easy-to-implement volatility forecasts.

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