| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10480602 | Physica A: Statistical Mechanics and its Applications | 2013 | 13 Pages |
Abstract
⺠Discussed exact pdf of high and low values of the Wiener process bridge. ⺠It is shown that the bridge volatility estimator is more efficient than known estimators. ⺠Considered interval volatility estimations, resting on bridge volatility estimator.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
S. Lapinova, A. Saichev, M. Tarakanova,