2500
4000
3500
3000
50 100 150 200 250
-200
1200
50 100 150 200 250
(a) Underlying asset: daily values during the last (b) Option: daily values during the last 223 days,
inria-00457222, version 1 - 16 Feb 2010
223 days, and trend (- -)
(c) Daily interest rate r
Figure 2: Example 1: CFU9PY3500
and trend (- -)
0 50 100 150 200 250
(d) ∆ tracking
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