Historical and Implied Volatilities : a Review of Methodology

• Autorzy: Monika Krawiec
• Języki publikacji: EN

Abstrakty

EN

Volatility is a subject of numerous studies. Many of them focus on predictive power of different sources of volatility. Most often, the Black-Scholes implied volatility is believed to outperform historical volatility, although some research demonstrates that implied volatility is a biased forecast of future volatility. Taken into account different opinions, the paper aims at presenting alternative methods for estimating volatility. (original abstract)

Słowa kluczowe

EN

Variability; Black-Scholes model

PL

Zmienność; Model Blacka-Scholesa

• Czasopismo: Metody Ilościowe w Badaniach Ekonomicznych / Szkoła Główna Gospodarstwa Wiejskiego
• Rocznik: 2013
• Tom: 14(XIV)
• Numer: nr 1
• Strony: 304--316

Twórcy

autor

Monika Krawiec

• Szkoła Główna Gospodarstwa Wiejskiego w Warszawie

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