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Quantitative Finance · Begrippenlijst

Wat is Realised volatility and variance?

Ook bekend als: realised volatility · variance

Definition 25.5 Markets I: The Ecosystem and Exchange-Traded Markets · Hoofdstuk 25 — Volatility as a Traded Quantity: First Contact

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.

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