关于sticky strike和sticky moneyness

wjve 发表于 2014-1-21 14:33
谢谢，请问为啥不存在smile，volatility图形是平的时候，marginal distribution就是lognormal的？这个mar ...

I suggest you read Derman's lecture notes on volatility smile..

It's a must read document for entry level quant.. very intuitive and practical.

simply do a google search and you will find it

stoneyl 发表于 2014-1-21 14:49
I suggest you read Derman's lecture notes on volatility smile..

It's a must read document for e ...

Many many thanks!

Chemist_MZ 发表于 2014-1-21 14:43
Lognormal is the distribution of the stock price, NOT return.

The log return of the Stock is No ...

十分感谢！