Homogeneous volatility bridge estimators

Alexander I. Saichev; Didier Sornette ; Vladimir Filimonov; Fulvio Corsi

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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Year of publication:	2009
Authors:	Saičev, Aleksandr I. ; Sornette, Didier ; Filimonov, Vladimir ; Corsi, Fulvio
Publisher:	Genève : Swiss Finance Inst.
Subject:	Volatilität \| Volatility \| Varianzanalyse \| Analysis of variance \| Stochastischer Prozess \| Stochastic process \| Schätztheorie \| Estimation theory \| Theorie \| Theory