Comments on 'Fourier Series Method for Measurement of Multivariate Volatilities' by P. Malliavin and M. E. Mancino
13 Pages Posted: 25 May 2007
Date Written: May 25, 2007
Malliavin and Mancino (2002) suggest a promising method for measuring asset volatilities, which was later used by many researchers.
However, there are some mistakes in proof in original paper. Considering univariate case and making some further simplifying assumptions I show how one can give a correct proof. Most likely, there are no principle difficulties to modify this proof for the general case that was initially considered by Malliavin and Mancino.
Keywords: volatility measurement, Fourier series method
Suggested Citation: Suggested Citation
Nekrasov, Vasily, Comments on 'Fourier Series Method for Measurement of Multivariate Volatilities' by P. Malliavin and M. E. Mancino (May 25, 2007). Available at SSRN: https://ssrn.com/abstract=989009 or http://dx.doi.org/10.2139/ssrn.989009
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