IDEAS home Printed from https://ideas.repec.org/a/eee/finlet/v67y2024ipas1544612324008717.html
   My bibliography  Save this article

A closed-form solution for spot volatility from options under limited data

Author

Listed:
  • Zhang, Aoran
  • Zhou, Chunyang

Abstract

In this article, the closed-form solution for spot volatility from European options is investigated. The price of the underlying asset follows a diffusion process with stochastic volatility. This approach requires only four European option contracts, making it applicable within limited data constraints. Numerical simulations are presented to prove the effectiveness and robustness.

Suggested Citation

  • Zhang, Aoran & Zhou, Chunyang, 2024. "A closed-form solution for spot volatility from options under limited data," Finance Research Letters, Elsevier, vol. 67(PA).
    • Handle: RePEc:eee:finlet:v:67:y:2024:i:pa:s1544612324008717
    DOI: 10.1016/j.frl.2024.105841
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1544612324008717
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.frl.2024.105841?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:finlet:v:67:y:2024:i:pa:s1544612324008717. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/frl .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.