Analysis of market volatility via a dynamically purified option price process
The paper studies methods of dynamic estimation of volatility for financial time series. We suggest to estimate the volatility as the implied volatility inferred from some artificial ‘dynamically purified' price process that in theory allows to eliminate the impact of the stock price movements....
| Main Authors: | , |
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| Format: | Journal Article |
| Published: |
World Scientific
2014
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| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.11937/10701 |