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 language | English (US) |
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Title of host publication | 2011 IEEE Statistical Signal Processing Workshop, SSP 2011 |
Pages | 45-48 |
Number of pages | 4 |
DOIs | |
State | Published - Sep 5 2011 |
Event | 2011 IEEE Statistical Signal Processing Workshop, SSP 2011 - Nice, France Duration: Jun 28 2011 → Jun 30 2011 |
Other
Other | 2011 IEEE Statistical Signal Processing Workshop, SSP 2011 |
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Country/Territory | France |
City | Nice |
Period | 6/28/11 → 6/30/11 |
All Science Journal Classification (ASJC) codes
- Electrical and Electronic Engineering
- Applied Mathematics
- Signal Processing
- Computer Science Applications