f******e
发帖数: 921 | 1 I want to know why we use log-normal distribution to describe the Volatility
? thanks! |
h**********k
发帖数: 168 | |
l******n
发帖数: 9344 | 3
Volatility
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~????
【在 f******e 的大作中提到】
: I want to know why we use log-normal distribution to describe the Volatility
: ? thanks!
|
t*******s
发帖数: 492 | 4 The quick answer to your question is that people want to use %change to
eliminate the negative value/rate problem, which naturally leads to ln vol.
But more importantly, vol is the output from your simple model to indicate
the value of the options. People buy/sell to influence the price of of the
underlying assets or options. The implied vol tells you the real market
price of the option cost. It doesn't matter you quote ln or normal vol for
yourself to make trading decision.
Volatility
【在 f******e 的大作中提到】
: I want to know why we use log-normal distribution to describe the Volatility
: ? thanks!
|
f******e
发帖数: 921 | 5 Do you know which paper or book talk about this? thanks |
