Bruno-Nassim Aboudrar. Voir les fous

Bruno Zeller

L'amélioration de la santé et des services : voir les moyens d'y arriver, plutôt que de penser si c'est possible

Bruno Caruso - n. 39

Bruno Tucunduva Ruviaro

CP-Bruno Dupire.qxd

prices as a function of volatility. If an option price is given by the market we can invert this relationship to get the implied volatility. If the model were perfect, this implied value would be the same for all option market prices, but reality shows this is not the case. Implied Black–Scholes volatilities strongly depend on the maturity and the strike of the European option under scrutiny. I...