A closed-form solution for spot volatility from options under limited data
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DOI: 10.1016/j.frl.2024.105841
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More about this item
Keywords
Closed-form solution; Spot volatility; Stochastic volatility; Limited data;
All these keywords.JEL classification:
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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