Implied Volatility of Straight Perpetuals

While revising and expanding my essay regarding Implied Volatility for FixedResets I realized that it would be useful to refer to my prior effort regarding Implied Volatility for Straight Perpetuals, which was published in the January, 2010, edition of PrefLetter.

So, the essay Implied Volatility in Perpetual Preferreds (with its addendum, Portfolio Management Implications of Implied Volatility in Perpetual Preferreds) is now publicly available.

One Response to “Implied Volatility of Straight Perpetuals”

  1. […] This essay continues a discussion of Implied Volatility Theory in the world of preferred shares, although I wasn’t referring to it in that manner. Only Straight Perpetuals were examined (a taxonomy of preferred shares is included in the article), and a rudimentary calculator was provided. This essay builds upon the earlier effort, Implied Volatility of Straight Perpetuals. […]

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