Estimating variance from high, low and closing prices (Q1182679)
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scientific article; zbMATH DE number 31781
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimating variance from high, low and closing prices |
scientific article; zbMATH DE number 31781 |
Statements
Estimating variance from high, low and closing prices (English)
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28 June 1992
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Wiener-Hopf factorisation
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high and low prices
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Black-Scholes option pricing formula
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closing prices
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drifting Brownian motion
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random walk
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