The "iron butterfly" – characterizing asset price distribution from its option prices
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Back in my PhD days, when I did a lot of thinking about probability distributions, a theme that I sometimes wondered about was: “When does a set of functionals fully characterize a distribution?”. In the case of expectations, “For which infinite sequences $g_i$ can you fully determine $P$ by knowing $E_P[g_i(X)]$?”
The "iron butterfly" – characterizing asset price distribution from its option prices
The "iron butterfly" – characterizing asset…
The "iron butterfly" – characterizing asset price distribution from its option prices
Back in my PhD days, when I did a lot of thinking about probability distributions, a theme that I sometimes wondered about was: “When does a set of functionals fully characterize a distribution?”. In the case of expectations, “For which infinite sequences $g_i$ can you fully determine $P$ by knowing $E_P[g_i(X)]$?”