Homogeneous Volatility Bridge Estimators

Details Homogeneous Volatility Bridge Estimators Homogeneous Volatility Bridge Estimators

2009-12-08

arxiv.org/abs/0912.1617v1

Economy

Quantitative Finance

Statistical Finance

25 pages, 9 figures

Scientific paper

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.

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