Cassese, Gianluca (contributor); … - 2005
when modeling the IVS is the impact of market inefficiency.
Indeed, contracts deep-in (and sometimes out-of) the-money tend … detailed description of the composition of the sample. In the following we will consider an option as
being at the money (ATM … considered in the money (ITM) or out of the money (OTM),
respectively (depending on its intrinsic value); an option will be …