Volatility and Margining in Futures Exchange
The purpose of this article is to present an alternative method of computing volatility for the purpose of setting margins. The setting of margins is closely related to the volatility of futures price changes. If volatility for the forthcoming week is expected to be high, then margins should be set...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
1996
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/2257 https://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=6914982&site=ehost-live |
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| Institution: | Singapore Management University |
| Language: | English |