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On inferring standard deviations from path dependent options |
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| Authors: | Clifford A. Ball Walter N. Torous Adrian E. Tschoegl |
| Affiliation: | University of Michigan, Ann Arbor, MI 48109-1234, USA |
| Abstract: | Path dependent option prices are employed to derive implied standard deviations of the underlying security price process without recourse to numerical procedures. We empirically illustrate our methodology by inferring the volatility of gold prices. |
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