Homogeneous Volatility Bridge Estimators
Statistical Finance
2014-08-26 v1 Computational Finance
Abstract
We present a theory of homogeneous volatility bridge estimators for log-price stochastic processes. The main tool of our theory is the parsimonious encoding of the information contained in the open, high and low prices of incomplete bridge, corresponding to given log-price stochastic process, and in its close value, for a given time interval. The efficiency of the new proposed estimators is favorably compared with that of the Garman-Klass and Parkinson estimators.
Cite
@article{arxiv.0912.1617,
title = {Homogeneous Volatility Bridge Estimators},
author = {Alexander Saichev and Didier Sornette and Vladimir Filimonov and Fulvio Corsi},
journal= {arXiv preprint arXiv:0912.1617},
year = {2014}
}
Comments
25 pages, 9 figures