Jaeck, Edouard; Lautier, Delphine - Université Paris-Dauphine (Paris IX) - 2014
choice of their hedging horizon. Moreover, volatility is one of the most important parameters in the pricing of options …. Whenever the framework of a constant volatility, as in the Black-Scholes model, is relaxed, the Samuelson effect must be taken … function of the risk of the underlying contract, for which a proxy could be the volatility. Despite some debates about …