TAILIEUCHUNG - Financial Engineering PrinciplesA Unified Theory for Financial Product Analysis and Valuation phần 4

Bất kỳ mô hình định giá tùy chọn tiêu chuẩn có thể được sửa đổi để cho phép việc định giá các lựa chọn nơi mà các series giá cơ bản là không phát hành bình thường. 2. Khi một giá trị biến động ngụ ý là tính toán, nó cũng có thể thể hiện giá trị hơn so với những gì được dự kiến cho một loạt giá cơ bản đó là bình thường phân phối, | Cash Flows 69 1. Any standard option-pricing model can be modified to allow for the pricing of options where the underlying price series is not normally distributed. 2. When an implied volatility value is calculated it may well embody more value than what would be expected for an underlying price series that is normally distributed it may embody some kurtosis value. Perhaps for obvious reasons historical volatility often is referred to as a backward-looking picture of market variation while implied volatility is thought of as a forward-looking measure of market variation. Which one is right Well let us say that it is Monday morning and that on Friday a very important piece of news about the economy is scheduled to be released maybe for the United States it is the monthly employment report with the potential to move the market in a big way one direction or the other. Let us assume an investor was looking to buy a call option on the Dow Jones Industrial Average for expiration on Friday afternoon. To get a good idea of fair value for volatility would the investor prefer to use a historical calculation going back 20 days historical volatility or an indication of what the market is pricing in today implied volatility as it looks ahead to Friday s event A third possibility would involve looking at a series of historical volatilities taken from the same key week of previous months to identify any meaningful pattern. It is consistently this author s preference to rely upon implied volatility values. To use historical volatility a relevant question would be How helpful is a picture of past data for determining what will happen in the week ahead A more insightful use of historical volatility would be to look at data taken from those weeks in prior months when employment data were released. But if the goal of doing this is to learn from prior experience and derive a better idea of fair value on volatility this particular week perhaps implied volatility already incorporates .

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