Search results
Results from the WOW.Com Content Network
Realized variance or realised variance (RV, see spelling differences) is the sum of squared returns.For instance the RV can be the sum of squared daily returns for a particular month, which would yield a measure of price variation over this month.
In finance, an option on realized variance (or variance option) is a type of variance derivatives which is the derivative securities on which the payoff depends on the annualized realized variance of the return of a specified underlying asset, such as stock index, bond, exchange rate, etc.
the variance strike; the realized variance; the vega notional: Like other swaps, the payoff is determined based on a notional amount that is never exchanged. However, in the case of a variance swap, the notional amount is specified in terms of vega, to convert the payoff into dollar terms. The payoff of a variance swap is given as follows:
In practice, the annualized realized volatility is interpreted in discrete sampling by the squared root of the annualized realized variance. Namely, if there are + sampling points of the underlying prices, says ,, …, observed at time where < for all =,, …,, then the annualized realized variance is valued by
Volatility swaps are more commonly quoted and traded than the very similar but simpler variance swaps, which can be replicated with a linear combination of options and a dynamic position in futures. The difference between the two is convexity: The payoff of a variance swap is linear with variance but convex with volatility. [1]
Random variables are usually written in upper case Roman letters, such as or and so on. Random variables, in this context, usually refer to something in words, such as "the height of a subject" for a continuous variable, or "the number of cars in the school car park" for a discrete variable, or "the colour of the next bicycle" for a categorical variable.
Data source: Social Security Administration. What's the average Social Security benefit at ages 62, 67, and 70? Although every age within the traditional collection range of 62 through 70 has its ...
In probability theory and statistics, variance is the expected value of the squared deviation from the mean of a random variable. The standard deviation (SD) is obtained as the square root of the variance. Variance is a measure of dispersion, meaning it is a measure