bs公式的波动率

矿主 发表于 2009-7-1 16:18
波动率真正使用的是实际波动率（actual volatility），但很难获取，因此通常使用history or implied volatility or forward volatility or hedging volatility.
通常用以下方法来建模或预测波动率：
1. Econometric models--GARCH
2. Deterministic models
3.Stochastic volatility
4. Poisson process
5. Uncertain volatility

能不能具体些,或者给些文章之类的
同时这些方法能用于中国股市吗?
西方的方法建立于西方的市场,
谨慎些

Yes. In China, there are "Zhangtingban" and "Dietingban"...

到BS网站上看看啊

13# zhdefei
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I am surprised. You niu B.

我也不懂了

Implied volatility is the market's (or market maker's) estimate of future volatility. Of course, no one knows what the future holds. So we often use historical volatility as a starting point to guess what the future volatility may be. Hopefully, by studying the past, we can make better decisions about the future (this is not just about option trading).

implicit vol就是用价格反推BS公式得到的vol