Historical Volatility

Geon Ho Choe
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Geon Ho Choe: Korea Advanced Institute of Science and Technology, Department of Mathematical Sciences

Chapter Chapter 15 in Quantitative Methods for Finance with Simulations II, 2026, pp 297-301 from Springer

Abstract: Abstract In this short chapter we introduce historical volatility of asset price movement. Volatility is the most important parameter in the geometric Brownian motion model for option pricing. All other parameters such as asset price, strike price, time to expiry and the risk-free interest rate can be readily obtained from the financial market.

Date: 2026
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sptchp:978-3-032-12331-2_15

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DOI: 10.1007/978-3-032-12331-2_15

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