怎么介绍?
分类:
2009-01-22 06:17:29
log(x*y)=log(x)+log(y),
sigma(log(x*y)) = sqrt[sigma(log(x))^2+sigma(log(y))^2+2*corr*sigma(log(x))*
sigma(log(y))],
corr, sigma(log(x)), sigma(log(y)) are the known values.
log(x/y)=log(x)-log(y),
sigma(log(x/y)) =
sqrt[sigma(log(x))^2+sigma(log(y))^2-2*corr*sigma(log(x))*sigma(log(y))]
log(y)=-log(1/y), so they should have the same lognormal vol.