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historical volatility ...

  1. rembrandt

    5,816 Posts.

    Hmmm... Historical Volatility is important to derivatives traders needing to determines whether FAIR VALUE price quotes represent a premium or a discount.

    From time to time the question is raised as to how to calculate Historical Volatility along with the usual confusion as there are variants according to the theme.

    I have constructed a worksheet having drawn on various sources demonstrating a step my step method for the calculation of Historical Volatility of Stock Prices for a sample population (not total population) and specifically within Excel.

    This can be viewed from this LINK to my webspace.

    It is not intended that this page will be necessarily permanent and will expire in due course.

    Cheers ... all care but no responsibility.

    This is only my view ... read the red stuff.

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