1. Obtain the underlying stock from the market at regular intervals (such as daily, weekly or monthly).
Wait a minute. ).
2. For each time period, find out the stock price at the end of the time period and the stock price at the beginning of the time period.
The natural logarithm of the ratio.
3. Find the standard deviation of these logarithmic values and multiply it by the number of time periods included in a year.
Square root (for example, if the time interval is daily, if the market is closed, there will be 250 per year.
The trading day is multiplied by the root number 250) to get the historical volatility.
Historical fluctuation is based on the statistical analysis of the past, assuming that the future is the delay of the past.
Using historical methods to estimate volatility is similar to estimating the standard deviation of the underlying asset return series.
In the stock market, historical fluctuation reflects the past fluctuation of the basic stock price. However, by
Because the fluctuation of stock price is difficult to predict, historical volatility is commonly used to predict the warrant price.
It can guarantee the accuracy, but because there is no warrant market in Chinese mainland at present, it is impossible to obtain this right.
It is impossible to calculate the implied volatility of securities prices. Therefore, the warrant issuer does not invest in warrants.
At the initial stage of issuance, only historical volatility can be used as a reference.