Discussion in 'Options' started by bines, May 17, 2010.
Where I can find an example in spreadsheet on Yang-Zhang volatility ?
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.
That books comes with a CD that has this in an excel spreadsheet.
If you can attach only the file of Yang ?
thank you !
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