VOLATILITY ESTIMATION DEVICE, COMPUTER PROGRAM THEREOF, AND VOLATILITY ESTIMATION METHOD

摘要

PROBLEM TO BE SOLVED: To perform volatility estimation by removing high frequency noise even in such a state in which the high frequency noise exists as in an actual stock price process.

SOLUTION: This device for estimating volatility at an observation point tkon the basis of observation data X(tk) at the discrete observation point tkin a random process can smooth the observation data X(tk) at the observation point tkby auxiliary observation data X(tik) observed at an auxiliary observation point tikat a time interval finer than a time interval Δ between respective observation points. The device can estimate volatility at the observation point tkby using the smoothed observation data.

COPYRIGHT: (C)2010,JPO&INPIT