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翻訳と辞書　辞書検索 [ 開発暫定版 ] スポンサード リンク Net volatility ： ウィキペディア英語版 Net volatility Net volatility refers to the volatility implied by the price of an option spread trade involving two or more options. Essentially, it is the volatility at which the theoretical value of the spread trade matches the price quoted in the market, or, in other words, the implied volatility of the spread. ==Formula== The net volatility for a two-legged spread (with one long leg, and one short) can be estimated, to a first order approximation, by the formula: :$\backslash sigma\_N=\backslash frac\backslash ,$ where :$\backslash sigma\_N$ is the net volatility for the spread :$\backslash sigma\_L$ and $\backslash nu\_L$ are the implied volatility and vega for the long leg :$\backslash sigma\_S$ and $\backslash nu\_S$ are the implied volatility and vega for the short leg 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Net volatility」の詳細全文を読む スポンサード リンク 翻訳と辞書 : 翻訳のためのインターネットリソース Copyright(C) kotoba.ne.jp 1997-2016. All Rights Reserved.