is there any literature on option pricing given the pdf of the underlying asset - e.g. i am interested in seeing how prices for a range of strikes ought to compare based on, say, a simple normal distribution vs. a bi-modal(mixture of 2 normals) vs. a log-normal distribution. python-based solutions would work as well
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1$\begingroup$ My answers to quant.stackexchange.com/questions/31368 and quant.stackexchange.com/questions/30749 might be useful. $\endgroup$– LocalVolatilityCommented Jan 27, 2019 at 23:36
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$\begingroup$ very helpful! how do you translate the implied density to implied vols in the first chart of your first link? $\endgroup$– user38537Commented Jan 28, 2019 at 1:17
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$\begingroup$ I replied by commenting on that answer. $\endgroup$– LocalVolatilityCommented Jan 28, 2019 at 8:48
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$\begingroup$ user38537, did you find a answer to your question ? I am very interested in finding a paper with this particular subject. Tks $\endgroup$– Raphael KhalilCommented Nov 11, 2019 at 17:18
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