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.

Full Text
Published version (Free)

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call