volatility

  • 61Volatility limit —   A treasury term for the maximum total for all currencies of the sum of the absolute value of call option position delta s and the absolute value of put option position delta s less the delta hedge limit …

    International financial encyclopaedia

  • 62volatility rating — /ˌˌvɒlə tɪlɪti ˌreɪtɪŋ/ noun a calculation of how volatile a share is, by calculating how much its performance is different from the normal pattern …

    Dictionary of banking and finance

  • 63volatility index — Stock Exchange. beta (def. 6) …

    Useful english dictionary

  • 64Implied volatility — In financial mathematics, the implied volatility of an option contract is the volatility implied by the market price of the option based on an option pricing model. In other words, it is the volatility that, given a particular pricing model,… …

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  • 65Stochastic volatility — models are used in the field of quantitative finance to evaluate derivative securities, such as options. The name derives from the models treatment of the underlying security s volatility as a random process, governed by state variables such as… …

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  • 66Net volatility — refers to the volatility implied by the price of an option spread trade involving two or more options. Essentially, it is the volatility at which the theoretical value of the spread trade matches the price quoted in the market, or, in other words …

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  • 67Local volatility — is a term used in quantitative finance to denote the set of diffusion coefficients, sigma(S T,T), that are consistent with the set of market prices for all option prices on a given underlier. This model is used to calculate values of exotic… …

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  • 68SABR Volatility Model — In mathematical finance, the SABR model is a stochastic volatility model, which attempts to capture the volatility smile in derivatives markets. The name stands for Stochastic Alpha, Beta, Rho , referring to the parameters of the model.The SABR… …

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  • 69Relative volatility — is a measure comparing the vapor pressures of the components in a liquid mixture of chemicals. This quantity is widely used in designing large industrial distillation processes.cite book|author=Kister, Henry Z.|title=Distillation… …

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  • 70Local Volatility — A model used in quantitative finance to calculate the unpredictability of the underlying current asset of a financial derivative. Because of the treatment of the underlying asset price as the sole random variable, local volatility models are not… …

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