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Total Posts: 106
Joined: Sep 2006
Posted: 2016-10-06 19:35
does anyone have any insight regarding how to mark the implied volatility of, e.g., an ATM call option expiring at Dec 17 for the Dividend Future Dec 18 ? Does the market use a sort of mean-reverting one(two) factor(s) model ?
Any ideas would be greatly appreciated.
Many thanks,
Sgt Pep.
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