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Tagged with normal-distribution option-pricing
3 questions
2
votes
2
answers
158
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Price Option B Knowing The Price of a Similar Option A
How do we find the implied volatility from the price in a call option and apply it to another option without a calculator? Or is there actually a better way?
For example, given a 25-strike 1.0-expiry ...
- 155
2
votes
1
answer
63
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Distribution of discrete Geometric average and Stock Price
If we have $$S_t = S_0 e^{(r-\frac{1}{2} \sigma ^2) +\sigma W_t}$$ and a discrete geometric average of stock prices $$G_n = (\prod_{i=1}^{n} S_{t_i})^{\frac{1}{n}} $$ where the monitoring points are ...
- 41
3
votes
2
answers
483
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Is it possible that under Black-Scholes: $\ln S_{T} \sim N \left ( \ln S_t - \frac{1}{2}\sigma^2(T-t), \sigma^2(T-t) \right )$
I have a slide on which there is written that under Black-Scholes model:
$$\ln S_{T} \sim N \left ( \ln S_t - \frac{1}{2}\sigma^2(T-t), \sigma^2(T-t) \right )$$
Now, here there is a good explanation ...
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