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IMPLIED VOLATILITY

Statistics Directorate    
Definition:
Implied volatility is the value of the expected volatility imputed from an option pricing model such as the Black-Scholes formula, given the option price, the asset’s price, the exercise price, the time to maturity, and the risk-free interest rate.

Source Publication:
OECD Economic Outlook Glossary + investopedia.com.

Cross References:
Black-Scholes formula
Risk-free interest rate

Hyperlink:
http://www.investopedia.com/terms/i/iv.asp

Statistical Theme: Financial statistics

Created on Friday, March 21, 2003

Last updated on Friday, June 14, 2013