Option-Implied Densities for Equities & Interest Rates
Document ID: 2001-346 (previously 2001/004)
Published on: 1st January 2001
Author: Craig Turnbull
The prices of vanilla options can be used to infer an implied risk-neutral disctribution for the variable underlying these options. This note describes how these implied distributions can be calculated in the case of equity options and interest-rate swaptions.
