FUKASAWA, M.; ISHIDA, I.; MAGHREBI, N.; OYA, K.; UBUKATA, M. - In: International Journal of Theoretical and Applied … 14 (2011) 04, pp. 433-463
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 expectation of future volatility. We utilize the relation between the asset variance … and the Black-Scholes implied volatility surface, and discuss the merits of this new model-free approach compared to the …