Hey everyone,Does anyone know how to calculate the non-central chi-square density as af function of the input paramters in the square-root process, i.e. as function of kappa, theta and vol-of-vol (a simple closed-form expression, please)?Best regards,Tropp

<t>Suppose you calculate the implied volatility (sigma) from market option prices via the Black-Scholes model and the options have 3 months left before expiration. Will this implied volatility be a per year volatility or a per 3 month volatility...? (If the latter I suppose one should use the 3 mont...

<r>Thanks for all your replies.I want to extract risk-neutral densities (implied by the market) from American currency options. I have read several articles where the authors 1) calculate the implied volatilities, 2) then estimate a function for the implied vol, and 3) calculate the risk-neutral den...

<t>Thanks for your replies, but could you elaborate a bit on this.The procedure is:1. Calculate implied volatilities from market option prices.2. Fit a function of the form: IV(K), where IV is the implied volatility and K is the strike price. This function is found by minimizing the squared differen...

<r>In his great book "Quantitative Finance" P. Wilmott shows how to extract the risk neutral probability density function (in the chapter on volatility surface). Is this formula (for the risk neutral probability density function) only valid for European options? I have read in an article by Shimko (...

Thanks for your help. I have got access to Reuters, but I have not been able to locate an currency options - only options og fixed income and equity. Icecloud: do you know more specific how to get these prices from Reuters?:-) Tropp

Does anyone have an electronic copy of: Harrison, J.M. & D.M. Kreps (1979): Martingales and Arbitrage in Multiperiod Securities Markets. I would like to obtain such a copy....Regards,Tropp

<t>There has got to be somewhere I can get access to data regarding currency options. I need a lot of data - all currency option prices on EUR/USD and USD/JPY for every strike every day and maturities 1m, 3m, 6m and 12m. What about Bloomberg or other international services. I need access to a databs...

Can anyone explain the business structure in the big investment banks? That is which areas are they in (M&A, derivatives etc.) - more specific?

<t>I want to extract volatility smiles and risk neutral densities from plain vanilla currency options. These options have to be very liquid. Would any of you be so kind to recommend some currency options and where they are traded (stock-exchange)? I can get acces to Bloomberg.I would be very gratefu...

<t>Hi,I want to compare Hestons density (Heston-1993 model with stochastic volatility) with the Black-Scholes density in order to show that Hestons model can create skewness. But I have problem: Which volatility (variance) should I use in the BS density? I'm interested in the skewness effects and no...

Hey numbersix,Would you be so kind to tell me where I can learn more about "ITO's 33 views on smiles" (links, pdf's etc.).Thank you.Tropp

Hi,Thank you very much for your help.It works! - the problem was that I had chosen solver.dll and not solver.xla ..... Tropp

i.e. the solver is not included in VBA - it works whitout any difficulty in Excel....

Hi pb273,I have tried to include solver as a reference, but whitout any luck. I have added the Solver in Excel, but when I try to include it under reference I get a warning and the solver is NOT included.... Tropp