n******s
发帖数: 19 | 1 大家好，
请问如何求 Implied distribution，instead of assuming lognormal distribution
in BS formulas.
什么公式或者方法呢？
谢谢 |
r*******y
发帖数: 290 | 2 use call options for all strikes
then f(s)=exp(-rt)d^2 (call)/dK^2
distribution
【在 n******s 的大作中提到】
: 大家好，
: 请问如何求 Implied distribution，instead of assuming lognormal distribution
: in BS formulas.
: 什么公式或者方法呢？
: 谢谢
|
n******s
发帖数: 19 | 3
so here, d^2(call), call means the RHS of BS for call option?
【在 r*******y 的大作中提到】
: use call options for all strikes
: then f(s)=exp(-rt)d^2 (call)/dK^2
:
: distribution
|
p******i
发帖数: 1358 | 4 it's model independent
【在 n******s 的大作中提到】
:
: so here, d^2(call), call means the RHS of BS for call option?
|
b**********5
发帖数: 51 | 5 Anyone can elaborate d^2 (call)/dK^2? The square of the difference of call
option prices divided by the square of the difference of strikes? |
r*******y
发帖数: 290 | 6 that's the second derivative of call price with respect to strike...
【在 b**********5 的大作中提到】
: Anyone can elaborate d^2 (call)/dK^2? The square of the difference of call
: option prices divided by the square of the difference of strikes?
|
