Sudden, large movements in a stock are usually accompanied by an increase in implied volatilities. Incorporate a
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Sudden, large movements in a stock are usually accompanied by an increase in implied volatilities. Incorporate a vega term into the one-asset CrashMetrics model. What is the role of actual volatility in CrashMetrics?
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Implied volatility is directly influenced by the supply and demand of the underlying options ...View the full answer
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