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Items for "quadratic variation scheme"

On a real-time scheme for the estimation of volatility

We are interested in the numerical scheme for the estimation of the volatility of a given price process St, which in the Black-Sholes paradigm is supposed to follow the Itō type stochastic differential equation.

Keywords: Volatility, Black-Scholes paradigm, Fourier series techniqie, quadratic variation scheme

07/2007 | Monte Carlo Methods and Applications, Walter de Gruyter