The paper studies methods of dynamic estimation of volatility for financial time series. We suggest to estimate the volatility as the implied volatility inferred from some artificial 'dynamically purified' price process that in theory allows to eliminate the impact of the stock price movements....

The paper studies estimation of parameters of diffusion market models from historical option prices. A method of reducing the impact of the stock price movements on the dynamically implied parameters is suggested. It is shown that a certain selection of the options can deliver a smooth in time...

We consider estimation of the historical volatility of stock prices. It is assumed that the stock prices are represented as time series formed as samples of the solution of a stochastic differential equation with random and time varying parameters; these parameters are not observable directly...