Using the second derivative of the Call-Option-Price one can try to recover the pricing density. Formally: Assuming a constant interst rate $r$ and also not making any assumptions on the model ...
I came upon the term "implied state price density" in a couple of papers. As far as I understand the concept one basically tries to extract the "pricing density" from the market data. For the sake ...
The volatility skew often changes based on multiple factors, such as moneyness of the option, time to expiration, movement in the underlying instrument, etc.. How does one best model the skew? Is ...