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3min chapter
Olivier Daviaud 29/04/24
Quantcast – a Risk.net Cutting Edge podcast
Exploring the Link Between Option Performance and Volatility Premium
This chapter explores the relationship between vanilla options performance and the volatility premium, examining how option prices are estimated through implied and historical volatility. The speaker emphasizes the importance of developing an accurate attribution formula to differentiate Black-Scholes pricing from other influencing factors.
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