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The Third Workshop on
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Monitoring volatility in an option exchange market
Eric J&aunl;rpe
Abstract
The volatility of an option exchange market reflects the
stability of the trading. A small by systematic increase in volatility
can be hard to distinguish from noise but may still have important
implications. Therefore optimal monitoring methods are derived and
evaluated. An example with tick-by-tick data from trade with options
for Microsoft and Intel shares is briefly examined.