Craig, Ben R. (contributor); Keller, Joachim G. (contributor) - 2004 - [Elektronische Ressource]
that have been used in a trade
on that day. While these data are advantageous in that they represent the most
liquid … future for which one wishes to forecast.
As is usual when handling option prices, a trade-offmust be made between making
the … converge to the exact optimum much more
quickly than other routines.
We found this to be a poor trade-off. Part of the problem …