mean reversion

Will Volatility Revert to the Mean?
March 22, 2017
Other

Will Volatility Revert to the Mean?

Hans Albrecht

A crucial foundation for understanding how option volatility works is the concept of ‘mean reversion’. For a period, stocks can go up and stay up, and they can conversely go down and stay down. But option pricing will generally have trouble staying high or low for an extended length of time. So why do prices eventually move...

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