Book contents
- Frontmatter
- Contents
- List of illustrations
- Preface
- 1 Option
- 2 Option valuation preliminaries
- 3 Random variables
- 4 Computer simulation
- 5 Asset price movement
- 6 Asset price model: Part I
- 7 Asset price model: Part II
- 8 Black–Scholes PDE and formulas
- 9 More on hedging
- 10 The Greeks
- 11 More on the Black–Scholes formulas
- 12 Risk neutrality
- 13 Solving a nonlinear equation
- 14 Implied volatility
- 15 Monte Carlo method
- 16 Binomial method
- 17 Cash-or-nothing options
- 18 American options
- 19 Exotic options
- 20 Historical volatility
- 21 Monte Carlo Part II: variance reduction by antithetic variates
- 22 Monte Carlo Part III: variance reduction by control variates
- 23 Finite difference methods
- 24 Finite difference methods for the Black–Scholes PDE
- References
- Index
20 - Historical volatility
Published online by Cambridge University Press: 05 June 2012
Book contents
- Frontmatter
- Contents
- List of illustrations
- Preface
- 1 Option
- 2 Option valuation preliminaries
- 3 Random variables
- 4 Computer simulation
- 5 Asset price movement
- 6 Asset price model: Part I
- 7 Asset price model: Part II
- 8 Black–Scholes PDE and formulas
- 9 More on hedging
- 10 The Greeks
- 11 More on the Black–Scholes formulas
- 12 Risk neutrality
- 13 Solving a nonlinear equation
- 14 Implied volatility
- 15 Monte Carlo method
- 16 Binomial method
- 17 Cash-or-nothing options
- 18 American options
- 19 Exotic options
- 20 Historical volatility
- 21 Monte Carlo Part II: variance reduction by antithetic variates
- 22 Monte Carlo Part III: variance reduction by control variates
- 23 Finite difference methods
- 24 Finite difference methods for the Black–Scholes PDE
- References
- Index
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- An Introduction to Financial Option ValuationMathematics, Stochastics and Computation, pp. 203 - 214Publisher: Cambridge University PressPrint publication year: 2004