On a real-time scheme for the estimation of volatility

Ogawa Shigeyoshi () and Wakayama Koji ()
Additional contact information
Ogawa Shigeyoshi: Dept.of Mathematical Sci., Ritsumeikan University, Shiga 525-8577, Japan. Email: ogawa-s@se.ritsumei.ac.jp
Wakayama Koji: Shinsei Bank, Limited, 1-8, Uchisaiwaicho, Chiyoda-ku, Tokyo 100-8501, Japan. Email: ogawa-s@se.ritsumei.ac.jp

Monte Carlo Methods and Applications, 2007, vol. 13, issue 2, 99-116

Abstract: We are interested in the numerical scheme for the estimation of the volatility of a given price process St, which in the Black-Sholes paradigm is supposed to follow the Itô type stochastic differential equation.

Keywords: Volatility; Black-Scholes paradigm; Fourier series techniqie; quadratic variation scheme. (search for similar items in EconPapers)
Date: 2007
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1515/mcma.2007.006 (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bpj:mcmeap:v:13:y:2007:i:2:p:99-116:n:1

Ordering information: This journal article can be ordered from
https://www.degruyter.com/journal/key/mcma/html

DOI: 10.1515/mcma.2007.006

Access Statistics for this article

Monte Carlo Methods and Applications is currently edited by Karl K. Sabelfeld

More articles in Monte Carlo Methods and Applications from De Gruyter
Bibliographic data for series maintained by Peter Golla ().