Racicot, Francois-Éric; Théoret, Raymond - Départment des sciences administratives, Université … - 2007
Markets makers quote many option categories in terms of implicit volatility. In doing so, they can reactivate the Black … and Scholes model which assumes that the volatility of an option underlying is constant while it is highly variable. First … of all, this article, whose purpose is very empirical, presents a simulation of stochastic volatility programmed in …