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PDF-21IntroductionGivenanempirically-observedormodel-generatedpriceofacall

PDF-21IntroductionGivenanempirically-observedormodel-generatedpriceofacall

Author : alexa-scheidler | Published Date : 2016-08-02

431ImpliedvolatilityLetusapplyDenition1tothecasethatXSadisplacedlognormalIfq0then24holdsforallKTpositiveIfq0thentherstinequalityin24holdsforallKTpositivebutthesecondinequalityESTK

43.1ImpliedvolatilityLetusapplyDenition1tothecasethatX=S adisplacedlognormal.Ifq0then(2.4)holdsforallK;Tpositive.Ifq0 thentherstinequalityin(2.4)holdsforallK;Tpositive butthesecondinequalityE(STK)

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