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Log Volatility

A historical volatility calculation method that assumes that stock prices are lognormally distributed (the rate of change in a price series is continuous).

This is one of the assumptions used in the Black-Scholes option pricing model. The historical volatility of the Black-Scholes model is the standard deviation of the natural logarithms of the prices on consecutive trading dates and is called the log volatility.

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