In relation to the mentioned problems one may wish to consider the paper
"the simulation of option prices with application to LIFFE options on futures"
Europen Journal of Operational Research, April 1999, Vol 114(2), pp 249-262.
It is shown that the deviation of the observed option prices from the BS
price is a random variable that can be captured by specific probability
distribution functions.
best,
george
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George A Christodoulakis
Department of Economics
University of Exeter
Streatham Court
Rennes Drive
Exeter EX4 4PU, UK
tel 0044 1392 263212
fax " " 263242
email [log in to unmask]
http://www.exeter.ac.uk/sobe/Staff/StaffEcon.html
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