Volatility Estimation with Price Quanta

DOI10.1111/1467-9965.00056MaRDI QIDQ4791737zbMATH OpenOpenAlexFDO

Authors L. C. G. Rogers

Publication date 2 February 2003

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9965.00056

zbMATH Keywords

Brownian motionEuler-Maclaurin expansionWiener-Hopf factorizationRogers-Satchell estimator

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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(8)

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• A maximum likelihood approach to volatility estimation for a Brownian motion using high, low and close price data
• EWMA historical volatility estimators
• Volatility estimation from short time series of stock prices
• The Garman-Klass volatility estimator revisited
• Stochastic volatility models including open, close, high and low prices
• Pricing under rough volatility
• Bridge homogeneous volatility estimators

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