What does stochastic volatility mean?

Definitions for stochastic volatility
sto·chas·tic volatil·i·ty

Here are all the possible meanings and translations of the word stochastic volatility.

Wikipedia

  1. Stochastic volatility

    In statistics, stochastic volatility models are those in which the variance of a stochastic process is itself randomly distributed. They are used in the field of mathematical finance to evaluate derivative securities, such as options. The name derives from the models' treatment of the underlying security's volatility as a random process, governed by state variables such as the price level of the underlying security, the tendency of volatility to revert to some long-run mean value, and the variance of the volatility process itself, among others. Stochastic volatility models are one approach to resolve a shortcoming of the Black–Scholes model. In particular, models based on Black-Scholes assume that the underlying volatility is constant over the life of the derivative, and unaffected by the changes in the price level of the underlying security. However, these models cannot explain long-observed features of the implied volatility surface such as volatility smile and skew, which indicate that implied volatility does tend to vary with respect to strike price and expiry. By assuming that the volatility of the underlying price is a stochastic process rather than a constant, it becomes possible to model derivatives more accurately.

How to pronounce stochastic volatility?

How to say stochastic volatility in sign language?

Numerology

  1. Chaldean Numerology

    The numerical value of stochastic volatility in Chaldean Numerology is: 2

  2. Pythagorean Numerology

    The numerical value of stochastic volatility in Pythagorean Numerology is: 1

Images & Illustrations of stochastic volatility

  1. stochastic volatilitystochastic volatilitystochastic volatilitystochastic volatilitystochastic volatility

Translation

Find a translation for the stochastic volatility definition in other languages:

Select another language:

  • - Select -
  • 简体中文 (Chinese - Simplified)
  • 繁體中文 (Chinese - Traditional)
  • Español (Spanish)
  • Esperanto (Esperanto)
  • 日本語 (Japanese)
  • Português (Portuguese)
  • Deutsch (German)
  • العربية (Arabic)
  • Français (French)
  • Русский (Russian)
  • ಕನ್ನಡ (Kannada)
  • 한국어 (Korean)
  • עברית (Hebrew)
  • Gaeilge (Irish)
  • Українська (Ukrainian)
  • اردو (Urdu)
  • Magyar (Hungarian)
  • मानक हिन्दी (Hindi)
  • Indonesia (Indonesian)
  • Italiano (Italian)
  • தமிழ் (Tamil)
  • Türkçe (Turkish)
  • తెలుగు (Telugu)
  • ภาษาไทย (Thai)
  • Tiếng Việt (Vietnamese)
  • Čeština (Czech)
  • Polski (Polish)
  • Bahasa Indonesia (Indonesian)
  • Românește (Romanian)
  • Nederlands (Dutch)
  • Ελληνικά (Greek)
  • Latinum (Latin)
  • Svenska (Swedish)
  • Dansk (Danish)
  • Suomi (Finnish)
  • فارسی (Persian)
  • ייִדיש (Yiddish)
  • հայերեն (Armenian)
  • Norsk (Norwegian)
  • English (English)

Word of the Day

Would you like us to send you a FREE new word definition delivered to your inbox daily?

Please enter your email address:


Discuss these stochastic volatility definitions with the community:

0 Comments

    Citation

    Use the citation below to add this definition to your bibliography:

    Style:MLAChicagoAPA

    "stochastic volatility." Definitions.net. STANDS4 LLC, 2021. Web. 6 Dec. 2021. <https://www.definitions.net/definition/stochastic+volatility>.

    Are we missing a good definition for stochastic volatility? Don't keep it to yourself...

    Browse Definitions.net

    Free, no signup required:

    Add to Chrome

    Get instant definitions for any word that hits you anywhere on the web!

    Free, no signup required:

    Add to Firefox

    Get instant definitions for any word that hits you anywhere on the web!

    Quiz

    Are you a words master?

    »
    being essentially equal to something
    • A. ambidextrous
    • B. equivalent
    • C. extroversive
    • D. proprietary

    Nearby & related entries:

    Alternative searches for stochastic volatility: