Volatility evaluation in option pricing

Martinkutė-Kaulienė, Raimonda

Use this URL to cite this publication: https://hdl.handle.net/20.500.14911/120314

Volatility evaluation in option pricing

Details

Publication Type (CRIS)

Straipsnis recenzuojamoje Lietuvos tarptautinės konferencijos medžiagoje / Article in peer-reviewed Lithuanian international conference proceedings (P1e)

Publication Type (eLABa)

Straipsnis recenzuotame konferencijos darbų leidinyje / Article published in peer-reviewed conference proceedings (P1d)

Author(s)

Title

Volatility evaluation in option pricing

[en]

Raimonda Martinkute-Kauliene

Is part of

5th international scientific conference Business and management' 2008. 16-17 May 2008 Vilnius, Lithuania : conference proceedings [CD] / International North German Academy of Informatology (Stralsund), Vilnius Gediminas Technical University, Riga Technical University, Tallinn University of Technology, Brno University of Technology, Slovak University of Technology, Technical University (Sofia, Bulgaria), University of Foggia (Italy), Information Society Development Committee under the Government of the Republic of Lithuania, Lithuanian Academy of Science, Infobalt Lithuania

Published In

Year	Start Page	End Page
2008	255	259

Publisher

Vilnius : Technika, 2008

Extent

p. 255-259

URI

URI
https://hdl.handle.net/20.500.14911/120314

Cited references

Science / Art Area

Socialiniai mokslai / Social sciences (S)

Field of Science / Art

Vadyba / Management (S003)

Keywords (en)

Abstract (en)

The volatility of asset returns tends to change over time. Changing volatility is apparent in bond and foreign currency markets, but is perhaps the most evident in stock markets. Analysis of the essential factors influencing prices of option contracts showed that the volatility of stock price showing the riskiness of the stock is one of the main and the most difficult factors to determine, because this parameter is the only one that isn’t known exactly at the moment of contract conclusion. So there is need to analyze this factor in detail. The research showed that volatility is random variable that has its own riskiness and possible fluctuations. These fluctuations have to be taken into consideration, because volatility often plays the most important role in actual trading situations. Changes in assumptions about volatility can have huge effect on an option’s price and value.