Option Valuation: Volatility
Interactive

Option Valuation: Volatility

Intuition Publishing Pty Ltd
Updated Sep 24, 2020

Taking account of the volatility of the underlying asset is absolutely essential when pricing options. We discuss the various measures of volatility that are used in option valuation, illustrate the calculation of historical volatility using an example, introduce the important idea of implied volatility, and finally describe volatility skews.

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