There are no options benchmarks
REAL-LIFE PROBLEMS, INNOVATIVE SOLUTIONS
Background
Many years ago, an auditor asked if it would not be better if all options were sold at a certain set premium. The modern sentiment for benchmarking is not far off. If only we could all use the same model, and the same set of market parameters, then matters would be far simpler. Senior managers and middle office functions would be doubly pleased.
Unfortunately, such hopes are doomed from conception. Financial derivatives are like any other high-tech product – albeit with one or two
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