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Homogeneous Volatility Bridge Estimators

Alexander Saichev, Didier Sornette, Vladimir Filimonov and Fulvio Corsi ()

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Abstract: We present a theory of homogeneous volatility bridge estimators for log-price stochastic processes. The main tool of our theory is the parsimonious encoding of the information contained in the open, high and low prices of incomplete bridge, corresponding to given log-price stochastic process, and in its close value, for a given time interval. The efficiency of the new proposed estimators is favorably compared with that of the Garman-Klass and Parkinson estimators.

Date: 2009-12
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Published in Quantitative Finance 14 (1), 87-89 (2013)

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