The realised volatility of an asset over a period is the annualised standard deviation of its returns over that period, conventionally computed from daily log returns without subtracting the mean. Variance is its square. Implied volatility is a price set today; realised volatility is a statistic known afterwards; the difference between them is what a hedged option position earns or loses.
Quantitative Finance · Begrippenlijst
Wat is Realised volatility and variance?
Ook bekend als: realised volatility · variance