For the underlyer used in question 1, demonstrate, for a model calibrated at time T > T1,

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For the underlyer used in question 1, demonstrate, for a model calibrated at time T > T1, that the implied volatility of options priced for T < T1 will be less than σ regardless of whether a subtractive or additive dividend model is used.

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The Value Of Uncertainty Dealing With Risk In The Equity Derivatives Market

ISBN: 9781848167728,9781908979582

1st Edition

Authors: George Kaye

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Question Posted: Jul 24, 2024 10:00 AM

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For the underlyer used in question 1, demonstrate, for a model calibrated at time T > T1,

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The Value Of Uncertainty Dealing With Risk In The Equity Derivatives Market

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