Volatility estimation by combining stock price data and option data

DOI10.4310/SII.2013.V6.N4.A2zbMATH Open1326.91036MaRDI QIDQ896580FDOQ896580

Authors: Yi Liu, Yazhen Wang 

Publication date: 10 December 2015

Published in: Statistics and Its Interface (Search for Journal in Brave)

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zbMATH Keywords

GARCH modeloption datadiffusionBlack-Scholes modelvolatility estimationstock data

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)

Cited In (4)

• Estimating the Stock/Portfolio Volatility and the Volatility of Volatility: A New Simple Method
• Volatility estimation from short time series of stock prices
• Volatility analysis for the GARCH-Itô model with option data
• Identifying the volatility of underlying assets from option prices

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