Stochastic volatility models including open, close, high and low prices
نویسندگان
چکیده
منابع مشابه
Stochastic Volatility Models Including Open, Close, High and Low Prices
Mounting empirical evidence suggests that the observed extreme prices within a trading period can provide valuable information about the volatility of the process within that period. In this paper we define a class of stochastic volatility models that uses opening and closing prices along with the minimum and maximum prices within a trading period to infer the dynamics underlying the volatility...
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ژورنال
عنوان ژورنال: Quantitative Finance
سال: 2012
ISSN: 1469-7688,1469-7696
DOI: 10.1080/14697688.2010.492233