Highs and lows: Some properties of the extremes of a diffusion and applications in finance

DOI10.2307/3315950zbMath1183.60030OpenAlexW2131032148MaRDI QIDQ4801371

Donald L. McLeish

Publication date: 7 April 2003

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3315950

zbMATH Keywords

optionshighssimulationBrownian motiongeometric Brownian motionlows

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Brownian motion (60J65) Financial applications of other theories (91G80)

Related Items (2)

The value of the high, low and close in the estimation of Brownian motion ⋮ Simulation of extremes of diffusions

Cites Work

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• Estimating variance from high, low and closing prices
• Connecting discrete and continuous path-dependent options
• A Continuity Correction for Discrete Barrier Options
• THE ENTROPY THEORY OF BOND OPTION PRICING
• Calibrating volatility surfaces via relative-entropy minimization

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