5596数理金融中等数值题short
Realized Versus Implied Vol 1
题目
A short event window has daily returns [0.012, -0.008, 0.015, -0.004, 0.011]. Using realized volatility = sqrt(252 × average(r^2)), what annualized realized volatility do you get? If the options market had implied volatility 0.24, which side had the better volatility bet ex post?
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提交作答时记录,用于后续平均用时统计。
你的答案
realized_vol
better_side