A StockOpter White Paper This document discusses what stock price volatilities are and how they are calculated. The volatility of the stock price is an input into StockOpter.com’s calculations of option values (using the Black-Scholes option-pricing model), value-at-risk (VaR), and probabilities associated with various stock prices. There are additional white papers on the Black-Scholes option-pricing […]
Month: February 2012
Stock Price Volatility: Executive Summary
A StockOpter White Paper This white paper explains the concept of volatility and why it is used in StockOpter.com (SO.com). Selecting a reasonable and appropriate volatility input is paramount to properly estimating the Black-Scholes Value (BSV) and Time Value (TV) of an employee stock option. It is also used in the estimation of an option holder’s Value-at-Risk […]