Cutting Edge

Pricing with a smile

Bruno Dupire shows how the Black-Scholes model can be extended tomake it compatible with observed market volatility smiles, allowingconsistent pricing and hedging of exotic options

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: