FUKASAWA, M.; ISHIDA, I.; MAGHREBI, N.; OYA, K.; UBUKATA, M. - In: International Journal of Theoretical and Applied … 14 (2011) 04, pp. 433-463
We propose a new method for approximating the expected quadratic variation of an asset based on its option prices. The quadratic variation of an asset price is often regarded as a measure of its volatility, and its expected value under pricing measure can be understood as the market's...