7. Calculate the square root of the mean squared pricing error from the IVF and MIVF models...
Question:
7. Calculate the square root of the mean squared pricing error from the IVF and MIVF models and compare them to the square root of the MSE from the standard BSM model and the Gram-Charlier model. Scatter plot the pricing errors from the MIVF model against moneyness and compare them to the plots from question 2.
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Related Book For
Elements Of Financial Risk Management
ISBN: 9780121742324
1st Edition
Authors: Peter F. Christoffersen
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