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Jun
29
comment How to derive the implied probability distribution from B-S volatilities?
@BrianB No problem. Don't forget to upvote any comments which you find helpful. ;)
Jun
29
comment How to derive the implied probability distribution from B-S volatilities?
You have a mistake. The second equation should be negative of what it is. So $e^{rT} \frac{\partial C}{\partial K}=- \int_K^\infty 1 \cdot p(S) dS$. This is because the call price should DECREASE as the strike increases. Probably dropped a minus sign in the integration by parts...
Dec
10
comment Why do some people claim the delta of an ATM call option is 0.5?
Clearly the best answer to the OP's question.
Nov
7
comment Why does Skew measure remain more-or-less constant for Listed Expiries?
Links are dead.
May
19
awarded  Popular Question
May
15
awarded  Supporter
Oct
10
asked Are DV01 (or PV01) and IR01 one and the same?