Historical versus implied volatility, Financial Management

There are two ways to estimate yield volatility - historical volatility and implied volatility. Thus far we have discussed how to calculate volatility by estimating historical yield volatility which is nothing but historical volatility. Implied volatility is calculated by estimating yield volatility based on observed price of interest rate options and caps.

Posted Date: 9/10/2012 3:44:10 AM | Location : United States







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