Questions tagged [pdf]
The pdf tag has no usage guidance.
1
vote
1answer
35 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
74 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 ...
