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About Derman Lectures Summary
1. The document discusses modeling volatility smiles seen in options markets, which cannot be explained by the Black-Scholes model. 2. Local volatility models and stochastic volatility models are discussed as alternatives that can potentially account for smiles, but they have challenges related to calibration and replication. 3. Static replication using a portfolio of vanilla options is presented as the best approach for valuation, as it does not depend on any volatility model and provides an exact replication.
Detailed Information
| Author: | ['Pranay Pankaj'] |
|---|---|
| Publication Year: | 2012 |
| Pages: | 30 |
| Language: | English |
| Format: | |
| Price: | FREE |
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