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Realized Volatility

См. также в других словарях:

  • realized volatility — Volatility calculated using the actual movements of prices in financial markets. See volatility and implied volatility. American Banker Glossary Sometimes referred to as the historical volatility, this term usually used in the context of… …   Financial and business terms

  • Volatility arbitrage — (or vol arb) is a type of statistical arbitrage that is implemented by trading a delta neutral portfolio of an option and its underlier. The objective is to take advantage of differences between the implied volatility of the option, and a… …   Wikipedia

  • Volatility smile — In finance, the volatility smile is a long observed pattern in which at the money options tend to have lower implied volatilities than in or out of the money options. The pattern displays different characteristics for different markets and… …   Wikipedia

  • Volatility Arbitrage — Trading strategies that attempt to exploit differences between the forecasted future volatility of an asset and the implied volatility of options based on that asset. Because options pricing is determined by the volatility of the underlying asset …   Investment dictionary

  • volatility — A measurement of the change in price over a given period. It is often expressed as a percentage and computed as the annualized standard deviation of the percentage change in daily price. Chicago Board of Trade glossary The rate of change in a… …   Financial and business terms

  • implied volatility — Volatility of a financial instrument that is imputed by subtracting all of the other factors thought to contribute to the price of an option. The amount remaining after those subtractions is attributed to volatility. Implied volatility is not the …   Financial and business terms

  • Implied volatility — In financial mathematics, the implied volatility of an option contract is the volatility implied by the market price of the option based on an option pricing model. In other words, it is the volatility that, given a particular pricing model,… …   Wikipedia

  • Historical Volatility - HV — The realized volatility of a financial instrument over a given time period. Generally, this measure is calculated by determining the average deviation from the average price of a financial instrument in the given time period. Standard deviation… …   Investment dictionary

  • Neil Shephard — Born 1964 Plymouth, UK Education Ph.D. from LSE Occupation Professor of E …   Wikipedia

  • Trading strategy index — Strategy indices are indices that track the performance of an algorithmic trading strategy. The algorithm clearly and transparently specifies all the actions that need to be taken. The following are examples of algorithms that strategies can be… …   Wikipedia

  • Option (finance) — Stock option redirects here. For the employee incentive, see Employee stock option. Financial markets Public market Exchange Securities Bond market Fixed income …   Wikipedia

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