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How to requested: calc volatility of stock price

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Andy E

How to requested: calc volatility of stock price

Request:
I would like to calculate the volatility of a stock's price.

Background:
I'm not sure of how I should do it. I'll be using QLNet and C# but would appreciate general approach as well (theory implying code even if c++ or other language).

Ultimately, I would like to calc the volatility of the stock's price to use as a parameter into calculating an option price so recommendations on periods to calculate price volatility are appreciated.

Thank you
Andy

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Cyril Boudin

Re: How to requested: calc volatility of stock price

Hi Andy

To calculate the realized (or historical) Volatility, you just need an excel spreadsheet.

You have to consider the log of the daily returns (LN(ST/St-1)),

Then average it over a given period (like the 3 months Vol)

You will finally annualized the measure by multiplying the number:
sqrt(# of days), usually x16

The stock price has to be dividend adjusted (to not add wrong move)

But the listed market is pricing with implied volatility, which a different measure.

Cyril

2014-08-05 15:51 GMT+02:00 Andy E <[hidden email]>:

Request:
I would like to calculate the volatility of a stock's price.

Background:
I'm not sure of how I should do it. I'll be using QLNet and C# but would appreciate general approach as well (theory implying code even if c++ or other language).

Ultimately, I would like to calc the volatility of the stock's price to use as a parameter into calculating an option price so recommendations on periods to calculate price volatility are appreciated.

Thank you
Andy

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Infragistics Professional
Build stunning WinForms apps today!
Reboot your WinForms applications with our WinForms controls.
Build a bridge from your legacy apps to the future.
http://pubads.g.doubleclick.net/gampad/clk?id=153845071&iu=/4140/ostg.clktrk
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