Abstract
Volatility is the most important parameter in the geometric Brownian motion model for asset price movement for option pricing. All other parameters such as asset price, strike price, time to expiry and the risk-free interest rate can be observed in the financial market.
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Choe, G.H. (2016). Numerical Estimation of Volatility. In: Stochastic Analysis for Finance with Simulations. Universitext. Springer, Cham. https://doi.org/10.1007/978-3-319-25589-7_25
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