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Results tagged with implied-volatility
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user 7365
The volatility of the price of the underlying security that is implied by the market price of an option based on an option pricing model.
4
votes
Why use implied volatility
we use implied vol for similar reasons why we use duration. we know that security prices are not linear functions of rates, yet we look at the duration, because it gives us an idea of sensitivity to a …
2
votes
Why is $dS/S$ an estimate of realized volatility?
The reason is that the drift component is very small compared to volatility on daily returns. Here's the details.
First, the obvious part. If you assume that the stock prices are lognormal process, t …
3
votes
Implied Volatility, annualized quantity ? And Total Implied volatility
Implied vol on the market depends on time, that's why we talk about vol surface as a function of maturity and strike. Here's an example from Wikipedia:
Notice, that this nothing to do with time scali …