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To: inex who wrote (221952)1/2/2007 9:46:31 PM
From: BiomavenRespond to of 275872
 
since historical volatility affects the current pricing of the option

Just to be crystal clear on this, historical volatility may or may not affect the current pricing of the option - it all depends on whether the market believes historical volatility is a good proxy for future volatility or not. For example, for a biotech with a binary event upcoming, historical volatility plays essentially no part in current option pricing.

Peter


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