Volatility estimation from short time series of stock prices
We consider estimation of the historicalvolatility of stock prices. It is assumed that the stock prices arerepresented as time series formed as samples of the solution of astochastic differential equation with random and time varyingparameters; these parameters are not observable directly and haveun...
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| Format: | Journal Article |
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Taylor & Francis
2013
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| Online Access: | http://hdl.handle.net/20.500.11937/40232 |