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CBOE Volatility Index (VIX) from December 1985 to May 2012 (daily closings) In finance, volatility (usually denoted by "σ") is the degree of variation of a trading price series over time, usually measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices.
Starting from a constant volatility approach, assume that the derivative's underlying asset price follows a standard model for geometric Brownian motion: = + where is the constant drift (i.e. expected return) of the security price , is the constant volatility, and is a standard Wiener process with zero mean and unit rate of variance.
The Brownian motion models for financial markets are based on the work of Robert C. Merton and Paul A. Samuelson, as extensions to the one-period market models of Harold Markowitz and William F. Sharpe, and are concerned with defining the concepts of financial assets and markets, portfolios, gains and wealth in terms of continuous-time stochastic processes.
Long-term investors like companies with strong fundamentals. In the words of investing guru Warren Buffett, you want to find "a wonderful company at a fair price," then hold on for the long term ...
The price of this option is influenced by multiple factors, including the stock’s current price, the option’s strike price, time to expiration and implied volatility. If the market expects a ...
The entertainment industry is just one sector of many that has seen the effects of a volatile stock market over the past year, along with a prevailing trend of more extreme fluctuations in price ...
The resulting VIX index formulation provides a measure of market volatility on which expectations of further stock market volatility in the near future might be based. The current VIX index value quotes the expected annualized change in the S&P 500 index over the following 30 days, as computed from options-based theory and current options ...
Volatile stocks can generate big returns for investors brave enough to hold on for the ride. Here are seven stocks to buy with betas of at least 1.7 and average daily volume of at least 1 million ...