Let the volatility (sigma) be nonconstant and a function of the underlying asset, (sigma(A(t))). Use the chain

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Let the volatility $\sigma$ be nonconstant and a function of the underlying asset, $\sigma(A(t))$. Use the chain rule to compute the smile-adjusted delta of a call option.

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Mathematical Techniques In Finance An Introduction Wiley Finance

ISBN: 9781119838401

1st Edition

Authors: Amir Sadr

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Question Posted: Feb 27, 2024 03:11 AM

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Let the volatility (sigma) be nonconstant and a function of the underlying asset, (sigma(A(t))). Use the chain

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Heres how to compute the smileadjusted delta of a call option using the chain rule when volatility i...View the full answer

Mathematical Techniques In Finance An Introduction Wiley Finance

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