Quantcast – a Risk.net Cutting Edge podcast cover image

Julien Guyon – 01/08/23

Quantcast – a Risk.net Cutting Edge podcast

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The Black Show and the Black Show for Mueller

The black show formula is still here because we quote options by this through their implied volatility. But it's the concept of how, how you value an agreement that remains important. And even if there is clearly no perfect replication in the market, there are plenty of arbitrage and frictions. It's a natural continuation of the black-shoulder model where you have perfect replication in your model.

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