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  • Svi104 8

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    Vasilije Nikacevic
    5 views1 page
    This document contains three graphs showing option price, implied volatility, and risk neutral density across different log-strike values for an expiration time of 0.14285714285714285. The option price graph is skewed to the right, implied volatility is highest for at-the-money strikes and decreases as strikes move higher or lower, and the risk neutral density depicts implied volatility skewed to the right.

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    SVI104-8

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    This document contains three graphs showing option price, implied volatility, and risk neutral density across different log-strike values for an expiration time of 0.14285714285714285. The option price graph is skewed to the right, implied volatility is highest for at-the-money strikes and decreases as strikes move higher or lower, and the risk neutral density depicts implied volatility skewed to the right.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Flag for inappropriate content
    5 views1 page

    Svi104 8

    Uploaded by

    Vasilije Nikacevic
    This document contains three graphs showing option price, implied volatility, and risk neutral density across different log-strike values for an expiration time of 0.14285714285714285. The option price graph is skewed to the right, implied volatility is highest for at-the-money strikes and decreases as strikes move higher or lower, and the risk neutral density depicts implied volatility skewed to the right.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 1

    Slice 8: Expiration T=0.

    14285714285714285
    80

    60
    Option price

    40

    20

    0
    3.0 2.5 2.0 1.5 1.0 0.5 0.0 0.5
    Log-Strike
    3.5
    3.0
    Implied volatility

    2.5
    2.0
    1.5
    1.0
    0.5
    3.0 2.5 2.0 1.5 1.0 0.5 0.0 0.5
    Log-Strike
    3.0
    2.5
    Risk neutral density

    2.0
    1.5
    1.0
    0.5
    0.0
    3.0 2.5 2.0 1.5 1.0 0.5 0.0 0.5
    Log-Strike

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