EBU Single Rulebook Q&A 7 December 2020 2020_5645 Definition of the parameter ρ_kl (option maturity)
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European Union · · · 15-07-2022
How is the parameter “ρ_kl (option maturity)” concretely determined? Does the calculation take place at the level of a single option or at the level of weighted net sensitivity, which may consist of several options?
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