A situation in which the volatility percentage validates the price of an option, it contrasts implied or historic volatility. An individual volatility option can be derived by the theoretical option pricing model, which is done by entering along with the price of the option the other five quantifiable factors- stock price, strike price, time left, cash dividends and interest rates.
Related information about individual volatility:
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Definition of individual volatility: A situation in which the volatility percentage ... An individual volatility option can be derived by the theoretical option pricing ...
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See also Individual volatility. ... A theoretical option pricing model can be used to generate an option's individual volatility when the five remaining quantifiable ...
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Further research is needed to better understand this option momentum phenomena and the economic source of strong negative individual volatility risk premium ...
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while Panel E from this figure displays the individual volatility components. Clearly,. 20The calculations in the Appendix show that the unconditional variance of ...
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over random effects, the regression results do not differ much between these two approaches. In particular, the slope coefficients of the individual volatility and ...
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0, the individual volatility risk premium will have the same sign as the market volatility risk premium. This characterization would hold if we define volatility risk as: ...
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trading will have far greater impact on individual volatility since the arrival of infor- mation on individual stocks is much more frequent.18. In order to investigate ...
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to individual volatility skew as well as the correlation effects can be gen- erated within the same framework. Both volatility and skew are positive functions of the ...