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Peter Timaratz wrote:
>
> Eric,
>
> Interesting post. Do you know of any commercial software that uses "pump and
> skew" models?
>
Well, I have my own model so I have never used any of the well known
public software, but I would certainly hope so.
I do have a copy of an Excel option pricing add in from Bay Options that
incorporates pump and skew fairly well, so I would expect the more
expensive services and models to include it as well.
Eric
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