2 Ch 10 Supplement, tran.doc - Ch 10 Volatility It is important for a financial institution to monitor the volatilities of market variables(such as

2 Ch 10 Supplement, tran.doc - Ch 10 Volatility It is...

This preview shows page 1 - 4 out of 12 pages.

Ch 10 Volatility 10.1 DEFINITION OF VOLATILITY 波幅A variable’s volatility is defined as the standard deviation (SD) of returns providedby the variable per unit of time when the returns are continuously compounded. When volatility is used for risk management(or option pricing), the unit of time isone day(or one year), so that volatility is the SD of continuously compounded returnsper day (or per year). Define Sias the value of a variable at the end of day 1 day. 1
Image of page 1
one ). (in 2
Image of page 2
Image of page 3
Image of page 4

  • Left Quote Icon

    Student Picture

  • Left Quote Icon

    Student Picture

  • Left Quote Icon

    Student Picture