Reply To: COMM-PHYS Index with Min-Max

#7937
Gareth Evenson
Participant

I think this is an issue with the use of the B-S model – which appears to significantly undervalue the long call option. If you switch to use of the Vorst model then this appears to give a better value for the options (I havent tried to value them separately but the trade PV moves into line with my expectations).

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