RDP 8902: Option Prices and Implied Volatilities: An Empirical Analysis
Equation (4)
(
T
−
t
)
σ
2
(
t
,
T
)
=
E
t
(
Σ
i
ε
t
+
i
)
2
=
Σ
i
=
1
T
−
t
E
t
(
ε
t+i
2
)
.
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