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datouzhu (datouzhu) 于 (Wed Mar 28 08:31:19 2007) 提到:
If I have lognormal vol for security x and y as well as the correlation
between the two securities. How to get the vol for a derivative that has the
payout of x*y and x/y?
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quantsquants (quantsquants) 于 (Wed Mar 28 08:42:15 2007) 提到:
log(x*y) = log(x)+log(y)
since log(x) and log(y) are normal distributions,
log(x*y) is normal, and its standard deviation ca |
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