Sudden, large movements in a stock are usually accompanied by an increase in implied volatilities. Incorporate a

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Sudden, large movements in a stock are usually accompanied by an increase in implied volatilities. Incorporate a vega term into the one-asset CrashMetrics model. What is the role of actual volatility in CrashMetrics?

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Introduces Quantitative Finance

ISBN: 978-0470319581

2nd edition

Authors: Paul Wilmott

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Question Posted: Sep 23, 2020 06:02 AM

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Sudden, large movements in a stock are usually accompanied by an increase in implied volatilities. Incorporate a

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Implied volatility is directly influenced by the supply and demand of the underlying options ...View the full answer

Introduces Quantitative Finance

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