Dash Boyer-Olson

Gargoyle Strategic Investments L.L.C.

1900 Market Street, Suite 610

Philadelphia, PA 19103

United States

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Reconstruction of Volatility: Pricing Index Options by the Steepest Descent Approximation

Courant Institute-NYU Working Paper
Number of pages: 18 Posted: 21 Nov 2002
Marco Avellaneda and Dash Boyer-Olson
New York University (NYU) - Courant Institute of Mathematical Sciences and Gargoyle Strategic Investments L.L.C.
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Abstract:

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