期权,期货及其衍生品第22弹.pptVIP

Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 Standard Approach to Estimating Volatility (page 498) Define sn as the volatility per day between day n-1 and day n, as estimated at end of day n-1 Define Si as the value of market variable at end of day i Define ui= ln(Si/Si-1) Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Simplifications Usually Mad