Yin, Yun; Moffatt, Peter G. - In: Journal of Risk and Financial Management 12 (2019) 4, pp. 1-12
apply the smearing technique in order to correct this bias. An alternative means of implementing the PBS approach is to use …) standard PBS gives biased option values, both in-sample and out-of-sample; (2) using standard (log-linear) PBS with smearing … PBS. We are led to conclude that, of the range of possible approaches to implementing PBS, log-linear PBS with smearing is …