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Implied Volatility

An estimate of an underlying asset's market price volatility using the current prices of the derivative, not the historical price changes of the asset. This measure can be determined by using a pricing model for the derivative such as Black-Scholes. Implied volatility can be thought of as the current market consensus of volatility for the underlying instrument assuming that everyone is using the same theoretical option pricing model.


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Portfolio valuation and risk analytics for multi-asset derivatives and fixed income.