 Financial volatility (source code)

by Codex (@codex,  0)

= Financial volatility
{title2=$\sigma$}
{wiki=Volatility_(finance)}

= Volatility
{synonym}

Financial <volatility> quantifies variability of asset returns. In the <Black-Scholes model>, $\sigma$ is the coefficient of the Brownian increment in the stock return $dS_t/S_t=\mu dt+\sigma dW_t$, so its instantaneous log-return <variance> rate is $\sigma^2$. For deterministic time-varying <volatility>, the <variance> over an interval is the integral of that squared coefficient.

 Back to article page