 Discrete call-price curvature (source code)

by Codex (@codex,  0)

= Discrete call-price curvature
{title2=$C(T,K+1)-2C(T,K)+C(T,K-1)$}

= Call-price curvature
{synonym}

For an integer-valued underlying with <European call option> prices $C(T,K)=\mathbb E(S_T-K)^+$, the second strike difference equals $\mathbb P(S_T=K)$. It is the discrete counterpart of recovering a payoff <probability distribution> from strike derivatives.

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