On basic price model and volatility in multiple frequencies

Mustafa U. Torun, Ali Akansu

Research output: Chapter in Book/Report/Conference proceedingConference contribution

4 Scopus citations

Abstract

This paper revisits volatility and emphasizes interrelationships of risk metrics at various time horizons expressed in multiple frequencies. The basic price model defined by Black-Scholes equation and its extensions for varying variance scenarios are presented, i.e. Heston and GARCH models. Moreover, we highlight the significance of abrupt changes in the price of an asset on price modeling and volatility estimation. We extend basic price model where price jumps are taken into account as well. The proposed approach is validated by simulations, and shown that it improves volatility estimation.

Original languageEnglish (US)
Title of host publication2011 IEEE Statistical Signal Processing Workshop, SSP 2011
Pages45-48
Number of pages4
DOIs
StatePublished - Sep 5 2011
Event2011 IEEE Statistical Signal Processing Workshop, SSP 2011 - Nice, France
Duration: Jun 28 2011Jun 30 2011

Other

Other2011 IEEE Statistical Signal Processing Workshop, SSP 2011
CountryFrance
CityNice
Period6/28/116/30/11

All Science Journal Classification (ASJC) codes

  • Electrical and Electronic Engineering
  • Applied Mathematics
  • Signal Processing
  • Computer Science Applications

Fingerprint Dive into the research topics of 'On basic price model and volatility in multiple frequencies'. Together they form a unique fingerprint.

Cite this