network profile
| bio | website | |
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| location | ||
| age | ||
| visits | member for | 2 years, 3 months |
| seen | Feb 12 '11 at 17:16 | |
| stats | profile views | 6 |
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Apr 17 |
awarded | Teacher |
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Mar 11 |
awarded | Student |
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Feb 11 |
answered | How 'High' is the frequency in HFT? |
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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. |
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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 |
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Feb 10 |
asked | on “recovering probability distributions from option prices” - how to subtract influence of stochastic volatility? |
