As I’m sure you can tell, pricing exotic derivatives isn’t my day job. But your reminder to think of SABR/implied-vol is useful: I think there’s a convexity ar

As I’m sure you can tell, pricing exotic derivatives isn’t my day job. But your reminder to think of SABR/implied-vol is useful: I think there’s a convexity argument that can be made around how fat the tails would need to be. I’m not sure anyone is going to be thrilled at “anywhere between one hundred dollars and one hundred million dollars”, but my job is to figure out the bounds.