Use daily, weekly, monthly or annual volatility? - Quant版 - 未名存档

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Quant版 - Use daily, weekly, monthly or annual volatility?

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话题: volatility话题: daily话题: monthly话题: use话题: weekly

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c**********e 发帖数: 2007	1 算期权价格时，如果用 historical volatility, 到底用daily, weekly, monthly 还是 annual volatility?
k*****n 发帖数: 117	2 If it is a 30 day option, daily If it is a 1-year option, monthly If it is a 30 year option, yearly
v**m 发帖数: 706	3 realized volatility.
t**********a 发帖数: 166	4 depends on your hedging frequency, if rebalance delta daily, then daily vol.

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相关主题
● [合集] ft.. Delete the earth question accidentally	● 关于historical vol的一个弱问题
● [合集] Ask another earth question about volatility arbitrage	● [合集] a quick option question.
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● [合集] interview question	● 请问SABR model重估计volatility
● 3-month T-bill rate 问题？	● 关于Swaptions　Implied Volatility的问题
● help: information ratio	● [NYC]Volatility Quantitative Analyst
● [合集] 怎样在Bloomberg终端上找到某只股票的Option Impled Volatility	● 外行人进来探个头。
● 有熟悉millburn corp的吗？	● [合集] 外行人进来探个头。

相关话题的讨论汇总
话题: volatility话题: daily话题: monthly话题: use话题: weekly

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