|
|
Volatility risk |
|
|
|
 Home Site Map Add Term Search About Us Contributors |
Volatility riskThe risk in the value of options portfolios due to the unpredictable changes in the volatility of the underlying asset.Volatility risk Similar MatchesReward to volatility ratioReward to volatility ratioRatio of excess return to portfolio standard deviation. Historic volatilityHistoric volatilityA measure of the price changes of a security over a specific period of time. Defined as the standard deviation of the continuously compounded returns on the security. Sometimes referred to as 'historical volatility'. Asymmetric volatilityAsymmetric volatilityPhenomenon that volatility is higher in down markets than in up markets. VolatilityVolatilityA measure of a security's propensity to go up and down in price.A volatile share is one which has a tendency to move violently through a deep share price range. Mathematically, this is expressed as the standard deviation from the average performance.In general, high volatility means high unpredictability, and therefore greater risk. Numerous attempts have been made to incorporate volatility into pricing models, but the problem has always been that past volatility is not necessarily a good guide to future volatility.Generally speaking, the higher the volatility of a share, the higher the price of option/warrants on the share will be. VolatilityVolatilityThe extent to which an economic variable, such as a price or an exchange rate, moves up and down over time. Further SuggestionsHistorical volatilityhistorical volatility implied volatility |
|
|
|