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A Comparison Between Break-Even Volatility and Deep Hedging For Option Pricing
The Black-Scholes (1973) closed-form option pricing approach is underpinned by numerous well-known assumptions (see (Taleb, 1997, pg.110-111) or (Wilmott, 1998, ch.19)), where much attention has been paid in particular to the assumption of constant volatility, which does not hold in practice (Yalinc...
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| Format: | Thesis |
| Language: | English |
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Department of Finance and Tax
2023
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