TY  - JOUR
CY  - Seattle
ID  - publications16472
UR  - http://tse-fr.eu/pub/27199
IS  - 3
A1  - Christoffersen, Peter
A1  - Fenou, Bruno
A1  - Jacobs, Kris
A1  - Meddahi, Nour
N2  - Many studies have documented that daily realized volatility estimates based on intraday returns provide volatility forecasts that are superior to forecasts constructed from daily returns only. We investigate whether these forecasting improvements translate into economic value added. To do so we develop a new class of affine discrete-time option valuation models that use daily returns as well as realized volatility. We derive convenient closed-form option valuation formulas and we assess the option valuation properties using S&P500 return and option data. We find that realized volatility reduces the pricing errors of the benchmark model significantly across moneyness, maturity and volatility levels
VL  - 49
TI  - The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation
AV  - none
EP  - 697
Y1  - 2014/06//
PB  - University of Washington Graduate School of Business Administration and the Western Finance Association
JF  - Journal of Financial and Quantitative Analysis
SN  - 0022-1090
SP  - 663
ER  -