bAsic python code to implement Litzenberger formula for risk-neutral probabilities implied by option prices. Use S&P 500 option prices whose strike intervals are typically 5 points apart use at and out of the money option prices
Asked
Active
Viewed 632 times
0
-
A simple google search leads to this – Idonknow Jun 04 '20 at 00:24
-
I don't want to use Breeden-Litzenberger formula anymore. I want to use Bondarenko convolution method. I found code but the code does not seem to include the ranges of the variable outside listed strikes n the minimization problem And those are critical. – catherine shalen Jun 09 '20 at 19:51
-
Perhaps you can post the codes you found? – Idonknow Jun 09 '20 at 23:32