volatility

(redirected from Historical volatility)
Also found in: Dictionary, Thesaurus, Medical, Financial, Encyclopedia.
References in periodicals archive ?
In the futures market itself, historical volatility based on daily price changes on a 22-day basis stands at around 89 percent, also sharply down from its peaks but still above a low of under 80 percent in February.
The experimental-sets structures the option pricing model through ENFIS using various time horizon strategies and the comparative-sets structures the option pricing model by BSG with considering the historical volatility and implied volatility.
The most common method of estimating future volatility is to use historical volatility as a proxy.
Because the BSM model may be an inadequate description of the observed option prices, caution is warranted in using it to compare implied volatility to historical volatility.
The first papers used historical volatility as an estimator, under the assumption that past dynamic in volatility will be constant in the future.
Actual historical volatility can be measured, as shown in the computer spreadsheet in the sidebar, and used as a guide for estimating future volatility.
Written by two top financial experts and filled with charts and graphs that illustrate the market concepts they develop, the book takes a sometimes contrarian view of everything from market edges to historical volatility, and from volume to put/call ratio, giving you all that you need to truly understand how the markets function.
1m, calculated on the basis of the Black & Scholes model using 12-month historical volatility (23.
The stocks are chosen on the basis of historical volatility as well as their correlation level, and weighted according to an optimisation process.
From this universe, the stocks with high expected yields and low historical volatility are selected.

Full browser ?