American option volatility smile


The code continues: Use of electronic algorithms solely to accept trades that are favourable to the bank and to reject non-favourable deals, when the criteria for assessing are equal, should be avoided. This amendment carries weight for two reasons: Abiding by the ACIs code of conduct has been one of the defences banks have hid behind to show that they are working to improve practices and oversight in dealing rooms after years of scandal. As well, this change is also recognized by the European Central Bank and a handful of other global central banks as industry guidelines.

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