• C++ Programming for Financial Engineering
    Highly recommended by thousands of MFE students. Covers essential C++ topics with applications to financial engineering. Learn more Join!
    Python for Finance with Intro to Data Science
    Gain practical understanding of Python to read, understand, and write professional Python code for your first day on the job. Learn more Join!
    An Intuition-Based Options Primer for FE
    Ideal for entry level positions interviews and graduate studies, specializing in options trading arbitrage and options valuation models. Learn more Join!

Quadratic Variation to estimate Volatility

quotes

quotes

Joined
6/11/10
Messages
189
Points
28
since dSdS=σσSSdt

Isnt't more straight forward to add up (St+1-St)^2 to estimate the volatility for a Geometric Brownian Motion?
 
The first will estimate the variance of S(t), which is not the usual sigma used in option pricing etc. The second method is what one uses to estimate sigma.
 

Similar threads

Quadratic variation in Stochastic Calculus
Replies
5
Views
3K
Qui-Gon
Qui-Gon
Quasar Chunawala
Monte Carlo Simulation to estimate e
Replies
10
Views
2K
Daniel Duffy
Daniel Duffy
Andy Nguyen
NYTimes article: Google to Offer Variation on Stock Options
Replies
0
Views
2K
Andy Nguyen
Andy Nguyen
Back
Top