6 citations · 15 across the 10 of their papers we have counts for
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q-fin.ST2011
An application of the method of moments to volatility estimation using daily high, low, opening and closing prices
Cristin Buescu, Michael Taksar, Fatoumata J. Koné
We use the expectation of the range of an arithmetic Brownian motion and the method of moments on the daily high, low, opening and closing prices to estimate the volatility of the…
q-fin.PR2011★ 6 cited
Impact of the first to default time on Bilateral CVA
Damiano Brigo, Cristin Buescu, Massimo Morini
We compare two different bilateral counterparty valuation adjustment (BVA) formulas. The first formula is an approximation and is based on subtracting the two unilateral Credit Val…