A maximum likelihood approach to volatility estimation for a Brownian motion using high, low and close price data

DOI10.1088/1469-7688/3/5/304zbMath1405.91642OpenAlexW2048583718MaRDI QIDQ4647284

Malik Magdon-Ismail, Amir F. Atiya

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1088/1469-7688/3/5/304

zbMATH Keywords

Brownian motionderivatives pricingvolatility estimationmaximum likelihood approach

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Uses Software

• Matlab

Cites Work

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• Estimating variance from high, low and closing prices
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• The joint density of the maximum and its location for a Wiener process with drift
• Uncertain Parameters, an Empirical Stochastic Volatility Model and Confidence Limits
• Volatility Estimation with Price Quanta
• First passage time distribution of a Wiener process with drift concerning two elastic barriers

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