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Re: negative transition probability

Posted: March 21st, 2022, 9:11 pm
by Collector

Re: negative transition probability

Posted: March 25th, 2022, 9:47 pm
by Collector
How Much Do Negative Probabilities Matter in Option Pricing?: A Case of a Lattice-Based Approach for Stochastic Volatility Models

"it seems unlikely that one could exploit negative probabilities consistently as some practitioners may hope."