Factors to consider in estimating expected volatility include:
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Volatility of the share price…
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The implied volatility of the share price…
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A newly public entity also might consider the expected volatility of similar entities. A nonpublic entity might base its expected volatility on the expected volatilities of entities that are similar except for having publicly traded securities.
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Appropriate and regular intervals for price observations…
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Corporate and capital structure. An entity’s corporate structure may affect expected volatility…
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FAS 123R paragraph A32 |
MITI can summarize the calculated volatilities into an Expected Volatility Template and work with the client to determine the appropriate weights to apply to these volatilities.
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