Platen, Eckhard; Hulley, Hardy - Finance Discipline Group, Business School - 2008
, while the real-world probability of
this event is zero.
There is, of course, a well-established correspondence between the … calibrate the model to observed derivative prices, as
is usually done in empirical studies hedge performance.
12
benchmarked …
implicit in Deutsche mark options. Rev. Finan. Stud., 9(1):69{107,
1996.
20
[6] F. Black. Studies in stock price volatility …