x**p
发帖数: 105 | 1 Is there a way to back out from market instruments the joint stock price
distribution under risk-neutral measure for two stocks at a future time t? |
s*******s
发帖数: 1568 | 2 use spread options?
【在 x**p 的大作中提到】
: Is there a way to back out from market instruments the joint stock price
: distribution under risk-neutral measure for two stocks at a future time t?
|
x**p
发帖数: 105 | 3 suppose the initial question is to price a spread option like ((s1-s2)-k)^+,
then what to do?
【在 s*******s 的大作中提到】
: use spread options?
|
d*j
发帖数: 13780 | 4 oh, how to price option like this?
thanks
+,
【在 x**p 的大作中提到】
: suppose the initial question is to price a spread option like ((s1-s2)-k)^+,
: then what to do?
|
x**p
发帖数: 105 | 5 we can get pdf for single names. I got stuck to get joint pdf. any niuren?
【在 d*j 的大作中提到】
: oh, how to price option like this?
: thanks
:
: +,
|
J*******g
发帖数: 267 | 6 maybe use Copula
【在 x**p 的大作中提到】
: we can get pdf for single names. I got stuck to get joint pdf. any niuren?
|
x**p
发帖数: 105 | 7 This should work. I just wondered how practitioners figure out what rho to
use.
【在 J*******g 的大作中提到】
: maybe use Copula
|
