Cutting Edge introduction: Continuity error

Laurie Carver
31 May 2013

Tweet
Facebook
LinkedIn
Save this article
Send to
Print this page

Opinion was divided when Jesper Andreasen and Brian Huge – quants at Danske Bank in Copenhagen – unveiled a radical way to generate implied volatilities in two 2011 articles (Risk March 2011, pages 76–79, and Risk July 2011, pages 66–71). On the one hand, the new method promised arbitrage-free prices, but it did so by abandoning the continuous time model that is traditionally seen as the ideal.

Andreasen has been disarmingly blunt about this sacrifice. “I don’t care,” he told one audience member

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to print this content. Please contact [email protected] to find out more.

You are currently unable to copy this content. Please contact [email protected] to find out more.

You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email [email protected]

You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email [email protected]