Introduction to Volatility Estimation

Takis Makridis

This White Paper focuses on the challenges and best practices related to estimating volatility in a manner that is compliant with ASC 718. Volatility estimation techniques are data-driven, but they require both qualitative and quantitative judgment calls, which are performed only through careful consideration of all the available facts and data. Although a variety of methods are available, some are clearly more appropriate for given situations than others. Furthermore, tradeoffs often arise in seeking to comply with both the spirit and letter of financial reporting requirements.

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