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An application of the method of moments to volatility estimation using daily high, low, opening and closing prices
| Content Provider | Semantic Scholar |
|---|---|
| Author | Buescu, C. Taksar, Michael Koné, Fatoumata |
| Copyright Year | 2011 |
| Abstract | We use the expectation of the range of an arithmetic Brownian motion and the method of moments on the daily high, low, opening and closing prices to estimate the volatility of the stock price. The daily price jump at the opening is considered to be the result of the unobserved evolution of an after-hours virtual trading day.The annualized volatility is used to calculate Black-Scholes prices for European options, and a trading strategy is devised to profit when these prices differ flagrantly from the market prices. |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | https://arxiv.org/pdf/1112.4534v1.pdf |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |