The most basic assumption behind all option models is what type of stochastic process is followed by the underlying asset. For interest rates, the two leading candidates are normal and lognormal, and with the advent of negative rates it's more important than ever to know which of these is better explained by actual historical data. Beyond that, risk measurement and risk management, as well as CVA and xVA calculations, are all vitally affected by the choice of stochastic process. This white paper compares lognormal to normal to answer the question conclusively, once and for all. It does so using basic statistical tests which the reader can easily try for themselves in a spreadsheet. So, which one do you think won? Get the white paper to find out. |
If you already have a password, click here to log in
Fields in red are required.
Privacy Policy: Savvysoft will not share your information with anyone else without your permission.
Copyright © 2004-2021, Options Unlimited Research Corp. |