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| Author: | Britten-Jones, M. Nueberger, A. |
| Title: | Option prices, implied price process, and stochastic volatility |
| Journal: | Journal of Finance
2000 : APR, VOL. 55:2, p. 839-866 |
| Index terms: | OPTION PRICES VOLATILITY FINANCE |
| Language: | eng |
| Abstract: | This paper characterizes all continuous price processes that are consistent with current option prices. This extends Derman and Kani (1994), Dupire (1994, 1997), and Rubinstein (1994), who only consider processes with deterministic volatility. The authors' characterization implies a volatility forecast that does not require a specific model, only current option prices. |
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