Craig, Ben R. (contributor); Keller, Joachim G. (contributor) - 2004 - [Elektronische Ressource]
). Second
differentiation of the call price with respect to the strike price, K, gives the risk-
neutral density, π
T
(X), times …, options are excluded if
¯
¯
¯
X
t
−K
K
√
T−t
¯
¯
¯ >.05, with K being the strike price, X
t
the actual futures rate and
√
T −t … approximate the risk-neutral density for each day. We
first calculate the instantaneous volatility of the spot, ˆσ
t
(X,τ,
b
β …