Possible Error in Code

Options & Futures
1

Course Name: Options Volatility Trading: Concepts and Strategies, Section No: 16, Unit No: 18, Unit type: Notebook

Hi, I'm checking the mathematics within the Jupyter notebook and I think that you are using the parkinson estimator incorrectly - it is square rooted and so is NOT a variance number in this example.

 

2

Hi Alun,

We will check this and get back to you. 

3

Hi Alun, the code has been updated by using the square of the Parkinson estimate for variance.