Research

Pricing of the SXEDISP Index Future

June 20, 2020

The objective here is to promote an exotic product in real time: the future on the Eurostoxx 50 Realized Dispersion Index. To do this, it becomes necessary to define the best valuation methodology: find the right equity option prices in order to generate a good layer of local volatility that can be reused later.

Research Paper (Fill in the form to download it)

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