Exercise 16.3.3 Abroker claimed the option premium is an arbitrage profit because he could write a call,

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Exercise 16.3.3 Abroker claimed the option premium is an arbitrage profit because he could write a call, pocket the premium, then set up a replicating portfolio to hedge the short call.What did he overlook?

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Financial Engineering And Computation Principles Mathematics Algorithms

ISBN: 9780521781718

1st Edition

Authors: Yuh-Dauh Lyuu

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Question Posted: Oct 26, 2024 12:00 PM

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Exercise 16.3.3 Abroker claimed the option premium is an arbitrage profit because he could write a call,

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Financial Engineering And Computation Principles Mathematics Algorithms

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