option implied dbn
financepy.models.option_implied_dbn
Functions
option_implied_dbn
option_implied_dbn(
s: float,
t: float,
r: float,
q: float,
strikes: Sequence[float],
sigmas: Sequence[float],
) -> numpy.ndarray
Calculate the option smile/skew-implied risk-neutral distribution.
Uses the Breeden-Litzenberger result
f(K) = exp(rT) * d²C/dK²
and returns
f(K) * dK
at each strike, rather than the raw probability density f(K).
Parameters
----------
s : float
Current underlying spot price.
t : float
Time to expiry in years.
r : float
Continuously compounded risk-free rate.
q : float
Continuously compounded dividend yield.
strikes : Sequence[float]
Increasing, equally spaced strike grid.
sigmas : Sequence[float]
Black-Scholes implied volatility corresponding to each strike.
Returns
-------
np.ndarray
Probability mass f(K) * dK associated with each strike-grid point.
The first and last values are zero because a central finite
difference cannot be calculated there.
Generated automatically from the FinancePy source code.
Do not edit this file manually.