Realised Volatility Moments Implied by Options with Applications to the Pricing of Realised Volatility Options
The article proposes a method to separate instantaneous volatility from price process in stochastic volatility models, resulting in a transformed implied volatility skew into a smile.
Featured in No. 51 on 28 May 2024 · 4 days after release · 0 citations today
- Released
- 24 May 2024
- First featured
- No. 51 · 28 May 2024
- Citations (Semantic Scholar)
- 0
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- 0
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- 9
- Identifier
- SSRN 4840162
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