Option implied probability distrubution function

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vittorio23
Posts: 8
Joined: Fri Apr 17, 2009 10:12 pm

Option implied probability distrubution function

Unread post by vittorio23 »

Hi there,

I'm looking to construct(translate) foreign exchange option implied probability distribution function as per the Matlab code and data examples outlined in the following technical report. http://www.bankofengland.co.uk/educatio ... hbook5.pdf (see pages 21-22 for non-parametric and pages 15-16 parametric).


Any pointers or code example welcome. Many thanks in advance
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