Smaller but measurable factors reflecting the "cost of carry". Types of Volatility
The only non-observable input that represents expected price fluctuations.
The predetermined price at which the option can be exercised.
Distinguishing between past and future movement is essential for accurate valuation: Sheldon Natenberg Option Volatility And Pricing
Theoretical models, most notably the , use several key inputs to determine an option's fair value:
The remaining life of the contract; longer time usually increases premiums.
The current market value of the stock or index.
Smaller but measurable factors reflecting the "cost of carry". Types of Volatility
The only non-observable input that represents expected price fluctuations.
The predetermined price at which the option can be exercised.
Distinguishing between past and future movement is essential for accurate valuation: Sheldon Natenberg Option Volatility And Pricing
Theoretical models, most notably the , use several key inputs to determine an option's fair value:
The remaining life of the contract; longer time usually increases premiums.
The current market value of the stock or index.
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