Pushing the Limits of Local Volatility in Option Pricing | Derivatives Risk Management Software & Pr

The expected Black-Scholes price is 94.7719, found by reading off the value of σ = 15.3996% from the (S = 1258.05, t = 11months) grid point. The Greeks are not comparable between models, whereas the price should be (in the continuous limit). Negative valu

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