The implied volatility of an option is the standard deviation of stock returns consistent with the options
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The implied volatility of an option is the standard deviation of stock returns consistent with the option’s market price. It can be backed out of an option-pricing model by finding the stock volatility that makes the model’s estimate of the option’s value equal to the observed price. p-69
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Related Book For
ISE Investments
ISBN: 9781266085963
13th International Edition
Authors: Zvi Bodie, Alex Kane, Alan Marcus
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