In this short chapter we introduce historical volatility of asset price movement. Volatility is the most important parameter in the geometric Brownian motion model for option pricing. All other parameters such as asset price, strike price, time to expiry and the risk-free interest rate can be readily obtained from the financial market.

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Historical Volatility

  • Geon Ho Choe

摘要

In this short chapter we introduce historical volatility of asset price movement. Volatility is the most important parameter in the geometric Brownian motion model for option pricing. All other parameters such as asset price, strike price, time to expiry and the risk-free interest rate can be readily obtained from the financial market.