We use the expectation of the range of an arithmetic Brownian motion and the method of moments on the daily high, low, opening, and closing prices to estimate the volatility of the stock price. This novel theoretical approach results in an estimator that is genuinely range-based on daily...

In this paper, first we study a stochastic volatility market model for which an explicit candidate solution to the problem of maximizing the utility function of terminal wealth is obtained. Applying this result, we present a complete solution for the Heston model, which is a particular case of...