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Time to Smile "Effective volatility of variance"

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SgtPepper
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Joined: November 3rd, 2004, 9:30 am

Time to Smile "Effective volatility of variance"

February 23rd, 2011, 1:48 pm

Hi,I have a question regarding the paper "Time To Smile" (Piterbarg, Risk May 2005): how do we get that the realized volatility is and not Any unsaid approximation ? Am I missing sthg ?Thanks.SgtPepper
Last edited by SgtPepper on February 22nd, 2011, 11:00 pm, edited 1 time in total.
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daveangel
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Joined: October 20th, 2003, 4:05 pm

Time to Smile "Effective volatility of variance"

February 23rd, 2011, 6:58 pm

scratch that
Last edited by daveangel on February 22nd, 2011, 11:00 pm, edited 1 time in total.
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SgtPepper
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Time to Smile "Effective volatility of variance"

February 24th, 2011, 8:10 am

Sorry but what's the problem ? It has been posted in the "Student forum".
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daveangel
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Time to Smile "Effective volatility of variance"

February 24th, 2011, 8:27 am

I meant scratch my previous reply. Your question is valid and I wasn't casting aspersions on it. I think if you expand the terms in baracket it might simplify it somewhat. WHat are the properties of S(t) ?
knowledge comes, wisdom lingers
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