I haven’t seen any discussion of cannabis stocks or ETFs here, even though we all know that weed is the new crypto now… Well, for a few more details, take a look here: https://www.linkedin.com/pulse/pot-hot-having-fun-tlry-options-borrows-timothy-klassen/ TLRY options might well have set a new reco...

Thanks, Alan. To be sure, in our approach the implied density is derived from the fitted parametric vol curve rather than being the primary object to be calibrated. And in practice it is a rather tricky problem to try to detect a mass at 0, i.e. a non-zero probability of default p0, in the detailed ...

As you know, not just many quants, but also the Fed and ECB love playing with options-implied densities, for what they might reveal about future underlier evolution (and various other reasons). So take a look at this: https://www.linkedin.com/pulse/options-implied-probability-tesla-crash-january-202...

More specifically, a pretty exhaustive discussion of the SSVI/S3 curve — as a per-term CURVE, not as a surface model with some particular choice of the parametrization of the term-structure of the curve parameters — can be found here: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2725700 It's ...

<r>There has been some discussion of SVI and SSVI here, so this might be of interest:<URL url="http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2725700It"><LINK_TEXT text="http://papers.ssrn.com/sol3/papers.cfm? ... =2725700It">http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2725700It</LINK_TEX...