<Stock Price Volatility: a primer>byDr. A. A. Kotzé
Financial Chaos Theory
January 2005
介绍
Abstract
A price series or an economic indicator that changes a lot and swings wildly
is said to be “volatile”. This simple and intuitive concept is the cause of
many difficulties in finance. Unlike many other market parameters which can
be directly observed, volatility has to be estimated. This is difficult, if not
impossible, because we cannot say that volatility is necessarily stochastic or
that it conforms to any mathematical model; all we know is that the evolution
of volatility is uncertain. An accurate estimate of volatility is, however, crucial
in many applications, including risk measurement and management as well as option
pricing and hedging.
PAGE9
《The Behavior of Stock-Market Prices》
Eugene F. Fama
The Journal of Business, Vol. 38, No. 1. (Jan., 1965), pp. 34-105.
PAGE79
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