Yang-Zhang volatility

Discussion in 'Options' started by bines, May 17, 2010.

  1. bines


    Hello ,

    Where I can find an example in spreadsheet on Yang-Zhang volatility ?

    thanks !
  2. If you are familiar with VBA, have a look here.
    It may not be perfectly functioning, but the meat is there.

    In addition, you may want to pick up "volatility trading," by E. Sinclair,
    as it addresses a lot of your questions, and might have the estimator for excel included.

    There is also a matlab estimator if you look around a bit.
  3. drenaud


    That books comes with a CD that has this in an excel spreadsheet.

  4. bines


    If you can attach only the file of Yang ?

    thank you !