Implied volatility(redirected from IV)
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The expected volatility in a stock's return derived from its option price, maturity date, exercise price, and riskless rate of return, using an option pricing model such as Black-Scholes.
Copyright © 2012, Campbell R. Harvey. All Rights Reserved.
An estimation of the volatility of a stock as calculated by the price of an option on that stock. The factors used in determining a stock's implied volatility are the maturity date, exercise price, and riskless rate of return. One of the most common models used in estimating implied volatility is the Black-Scholes Option Pricing Model.
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