Pricing of options using realized volatility
Автор: Trunichkin N.I., Akopyan K.G.
Журнал: Экономика и бизнес: теория и практика @economyandbusiness
Статья в выпуске: 4 (38), 2018 года.
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The article considers the main types of volatility in the financial market. We singled out the realized volatility (RV) as a separate type; also, we formulated the main RV calculation methods and using. The principles of trading short and long volatility, as well as the delta hedging process, are considered. Furthermore, the example of calculating the realized volatility on a real example is given. In conclusion, we determined the practical use of this volatility.
Volatility, realized volatility, implied volatility, options, delta, volatility trading
Короткий адрес: https://sciup.org/170180893
IDR: 170180893