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  • Svi104 2 PDF

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    Vasilije Nikacevic
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    This document contains graphs of option price, implied volatility, and risk neutral density around expiration. The option price graph shows prices decreasing as the log-strike moves away from current stock price. Implied volatility is highest for at-the-money options and decreases as log-strike increases or decreases. The risk neutral density graph depicts an implied probability distribution that is symmetric around the current stock price.

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    SVI104-2.pdf

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    This document contains graphs of option price, implied volatility, and risk neutral density around expiration. The option price graph shows prices decreasing as the log-strike moves away from current stock price. Implied volatility is highest for at-the-money options and decreases as log-strike increases or decreases. The risk neutral density graph depicts an implied probability distribution that is symmetric around the current stock price.

    Copyright:

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

    Svi104 2 PDF

    Uploaded by

    Vasilije Nikacevic
    This document contains graphs of option price, implied volatility, and risk neutral density around expiration. The option price graph shows prices decreasing as the log-strike moves away from current stock price. Implied volatility is highest for at-the-money options and decreases as log-strike increases or decreases. The risk neutral density graph depicts an implied probability distribution that is symmetric around the current stock price.

    Copyright:

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

    Slice 2: Expiration T=0.

    023809523809523808
    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
    6
    5
    Implied volatility

    4
    3
    2
    1
    0
    3.0 2.5 2.0 1.5 1.0 0.5 0.0 0.5
    Log-Strike
    7
    6
    Risk neutral density

    5
    4
    3
    2
    1
    0
    3.0 2.5 2.0 1.5 1.0 0.5 0.0 0.5
    Log-Strike

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