Dupire, B. () Pricing with a Smile. Risk, 7, B. Dupire, “Pricing with a Smile,” Risk, Vol. 7, , pp. Pricing with a smile. In the January issue of Risk, Bruno Dupire showed how the Black-Scholes model can be extended to make it.
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Skip to search form Skip to main content. If eupire 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. This paper has highly influenced 90 other papers.
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Pricing with a Smile
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Showing of extracted citations. The Heston Stochastic-local Volatility Model: GrzelakCornelis W. Arbitrage-free market models for interest rate options and future options: Pricing exotic options lricing improved strong convergence Klaus E.
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