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1answer
117 views

Physical Option Implied Distribuition

So I got risk neutral probabilities from stock option prices. How can I then map them to a physical measure?
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2answers
2k views

How to extrapolate implied volatility for out of the money options?

Estimation of model-free implied volatility is highly dependent upon the extrapolation procedure for non-traded options at extreme out-of-the-money points. Jiang and Tian (2007) propose that the ...