Estimating variance from high, low and closing prices
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Publication:1182679
DOI10.1214/aoap/1177005835zbMath0739.62084OpenAlexW2086242486MaRDI QIDQ1182679
Publication date: 28 June 1992
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aoap/1177005835
random walkWiener-Hopf factorisationBlack-Scholes option pricing formulaclosing pricesdrifting Brownian motionhigh and low prices
Applications of statistics to economics (62P20) Markov processes: estimation; hidden Markov models (62M05) Microeconomic theory (price theory and economic markets) (91B24)
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