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garp17-p2-31

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    question 31 on practice exam 2017 - Implied vol

    I am currently preparing the FRM (part 2) and I would need your help on the following question. A risk manager is in the process of valuing several European-type option positions on a non-dividend-paying stock XYZ that is currently priced at EUR 30. The implied volatility skew, estimated using...
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