摘要翻译:
我们利用一个算术布朗运动的范围的期望和矩量法对每日的高、低、开、收盘价估计股票价格的波动性。开盘时的每日价格跃升被认为是盘后虚拟交易日未被观察到的演变的结果,年化波动率被用来计算欧式期权的Black-Scholes价格,并设计了一种交易策略,以在这些价格与市场价格明显不同时获利。
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英文标题:
《An application of the method of moments to volatility estimation using
daily high, low, opening and closing prices》
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作者:
Cristin Buescu, Michael Taksar and Fatoumata J. Kon\'e
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最新提交年份:
2011
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Statistical Finance 统计金融
分类描述:Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类:Mathematics 数学
二级分类:Probability 概率
分类描述:Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用:例如中心极限定理,大偏差,随机微分方程,统计力学模型,排队论
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一级分类:Quantitative Finance 数量金融学
二级分类:Pricing of Securities 证券定价
分类描述:Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类:Statistics 统计学
二级分类:Applications 应用程序
分类描述:Biology, Education, Epidemiology, Engineering, Environmental Sciences, Medical, Physical Sciences, Quality Control, Social Sciences
生物学,教育学,流行病学,工程学,环境科学,医学,物理科学,质量控制,社会科学
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英文摘要:
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.
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PDF链接:
https://arxiv.org/pdf/1112.4534