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Conclusion

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Listed:
  • David Nicolay

Abstract

As the time now comes to summarise and assess this presentation of ACE, let us first recall our original mandate. Our intention was to establish an explicit and non-arbitrable connection between some of the SV model classes, which are capable of describing the joint dynamics of an underlying and of its associated European options. That connection could be approximate, provided that its precision was known and if possible controllable. We also demanded a generic treatment in terms of covered models, and were aiming for some practical, efficient algorithm. We now offer our views on which of these objectives have been attained, and on which still remain open subjects.

Suggested Citation

Handle: RePEc:spr:sprfcp:978-1-4471-6506-4_8
DOI: 10.1007/978-1-4471-6506-4_8
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