Volatility - a Simulation Study of Different Extreme Value Variance Estimators in the World of Options
Author | : Goran Andersson |
Publisher | : |
Total Pages | : |
Release | : 1998 |
ISBN-10 | : OCLC:1291273558 |
ISBN-13 | : |
Rating | : 4/5 (58 Downloads) |
Download or read book Volatility - a Simulation Study of Different Extreme Value Variance Estimators in the World of Options written by Goran Andersson and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper evaluates alternative extreme value estimators by simulating a Brownian Motion with a certain drift and a certain variance. The estimated variances for extreme values are compared to the true variance. The effects on extreme value operators in the literature of drift and intensity of trade are analyzed. Corrections are made for infrequent trading.