Rootless Vol

Kent Osband shows that one of the strangest features of Brownian motion is that the parameter that causes all the uncertainty is not supposed to be uncertain...

Even if you started out clueless about the volatility σ , given a good enough measuring stick and fast enough hands you ought to be able to measure it quickly and accurately. In practice you have to settle for wobbly estimation. Less wobbly than estimation of the mean μ. But a whole lot wobblier than you’d like.

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