• Out-of-Stock

Implied Distribution as a Function of the Volatility Smile [extrait BMI 119]

Author : Tavin Bertrand
€50.00
Tax included
Quantity
Add to wishlist
Out-of-Stock

Version numérique PDF

In this paper we obtain the risk-neutral density of an underlying asset price as a function of its option implied volatility. We derive a known expression for the density and decompose it into a sum of lognormal and adjustment terms. We also derive no-arbitrage conditions on the volatility smile. We then explain how to use the results. Our methodology is applied to the pricing of a portfolio of digital options. It is then applied to the fitting of a distribution for log-return modelling.Keywords: Option pricing; No arbitrage; Risk-neutral distribution; Implied volatility smile.JEL: C14; C52; G13

Auteurs :Tavin Bertrand
Extrait de la revue BMI 119

BMI119-1110692
New

16 other products in the same category:

Bankers, Markets &...
  • Out-of-Stock
Availability: Out of stock

An arbitrage-free interest rate model consistent with economic constraints for Long-Term Asset Liability Management

The Influence of Variable Selection Methods on the Accuracy of Bankruptcy Prediction Models

  • Extendible Options with Modifiable Underlying Assets
  • The Perception of Dividends by Managers
  • Mobilizing Investor Networks behind Shareholder Activism in France
This website uses cookies to ensure you get the best experience on our website