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seen Feb 12 '11 at 17:16

Apr
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Feb
11
answered How 'High' is the frequency in HFT?
Feb
10
comment on “recovering probability distributions from option prices” - how to subtract influence of stochastic volatility?
quant_dev, Let me try to rephrase, hoping this will convey better. When one uses the double differentiation you suggested, we get the price distribution assuming that volatility is constant and that's probably the way to go for very short term index options where there are numerous strikes and solid trading volume. But with longer term options, I am wondering aloud if this is a fair approach to recover the price density alone, since we are aware that BSM IV varies quite a bit with moneyness.
Feb
10
comment on “recovering probability distributions from option prices” - how to subtract influence of stochastic volatility?
papers.ssrn.com/sol3/papers.cfm?abstract_id=7849
Feb
10
asked on “recovering probability distributions from option prices” - how to subtract influence of stochastic volatility?