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  • Svi104 6 PDF

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    Vasilije Nikacevic
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    This document contains three graphs showing option price, implied volatility, and risk neutral density around the expiration date T=0.10317460317460317. The option price graph shows a peak around a log-strike of 1, the implied volatility graph is highest around a log-strike of 1 and decreases as strike increases, and the risk neutral density graph has a bell shape centered around a log-strike of 1.

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    SVI104-6.pdf

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    This document contains three graphs showing option price, implied volatility, and risk neutral density around the expiration date T=0.10317460317460317. The option price graph shows a peak around a log-strike of 1, the implied volatility graph is highest around a log-strike of 1 and decreases as strike increases, and the risk neutral density graph has a bell shape centered around a log-strike of 1.

    Copyright:

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

    Svi104 6 PDF

    Uploaded by

    Vasilije Nikacevic
    This document contains three graphs showing option price, implied volatility, and risk neutral density around the expiration date T=0.10317460317460317. The option price graph shows a peak around a log-strike of 1, the implied volatility graph is highest around a log-strike of 1 and decreases as strike increases, and the risk neutral density graph has a bell shape centered around a log-strike of 1.

    Copyright:

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

    Slice 6: Expiration T=0.

    10317460317460317
    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
    1.4
    1.2
    1.0
    Implied volatility

    0.8
    0.6
    0.4
    0.2
    3.0 2.5 2.0 1.5 1.0 0.5 0.0 0.5
    Log-Strike
    3
    2
    Risk neutral density

    1
    0
    1
    2

    3.0 2.5 2.0 1.5 1.0 0.5 0.0 0.5


    Log-Strike

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