Option implied probability distrubution function
Posted: Tue Oct 25, 2016 1:29 am
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
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