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Results tagged with volatility
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user 4910
A measure of the variation in price over time. Also a measure of the risk of a financial instrument.
4
votes
Accepted
Expected value of Black-Scholes
Two parts
Real world vs risk neutral: Can we even estimate risk neutral volatility using historical data? … Luckily, changing to the risk neutral measure does not affect volatility, only the drift. Thus, a real world measure of volatility will properly estimate the risk neutral volatility. …
- 1,087
1
vote
How to estimate the following model?
I would suggest writing the joint density as the product of the conditional densities then estimate parameters using an optimization package.
The joint density is given by
$$f(r_0, \ldots, r_T) = …
- 1,087