Questions tagged [pdf]
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6
questions
0
votes
1answer
68 views
Computing the Probability Density Function (PDF) for the Heston model
I am trying to compute the PDF for the Heston model using the Breeden Litzenberger formula.
I have calculated the the Heston implied volatilities for a strike range (which i have interpolated using ...
3
votes
2answers
120 views
Interpretation of a uniform asset return distribution
Typically asset return distributions are bell-shaped with most mass occurring in and around the center, 0% returns, and less so in the tails, with the left tail representing the probability of large ...
0
votes
1answer
137 views
Which financial time series have a PDF and/or CDF?
Consider the following types of financial time series for a single publicly-listed stock:
Price data
Log returns
Cumulative returns
Each is computed from the item listed before it: log returns are ...
4
votes
2answers
180 views
Probability distribution of the stochastic process $\int_{0} ^{t}\frac{u}{t}dW_{u}$
I am wondering about the probability distribution of the stochastic process
$$X_t=\int_0^t \frac{u} {t} dW_{u}$$
I thought of using the Kolmogorov equation but after converting this into An SDE
$$...
1
vote
1answer
40 views
CDF&density of stock price modeled by standard brownian motion
Assume that the price of the stock follows the model
$S(t) = S(0) exp (
mt −
((σ^2)/2 )
t + σW(t)
)$
, (1)
where W(t) is a standard Brownian motion; σ > 0, S(0) > 0, m are some constants.
Derive the ...
4
votes
0answers
101 views
Alternative Method for Determining Option-Implied pdf
As I am refining a pricing model to incorporate skew, and not just ATM volatilities, I need to create random realizations of the underlying consistent with the skew-implied pdf. When searching, one ...
