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Implied Distribution - Market Application
This tool calculates the risk neutral density implied in market option prices to determine the probability that future prices will lie in a given range
based on market prices
Tutorial File: Implied Distribution Market Application.pdf
Excel Template File: Implied Distribution Market Application.xlsx
Market Data & Parameters
Import File
DataSet Name
To identify the dataset
Current Spot Price
Interest Rate & Dividend Yield
True
False
Interest Rate & Dividend Yield
Interest Rate \((\%) \)
Dividend Yield \((\%) \)
Option Type
Call
Put
Both
Plot Type
PDF of Spot Prices
CDF of Spot Prices
CDF of Log-Returns
Table of moments
Description
Ceq
LogNormal
Ceq Return
Normal
Area
None
1
None
1
Mean
None
None
None
None
Variance
None
None
None
None
Skewness
None
None
None
None
Kurtosis
None
None
None
None