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a) The finance literature has found that options that are deep out of-the-money (i.e., the underlying assets price would need to change a lot for

a) The finance literature has found that options that are deep out

of-the-money (i.e., the underlying assets price would need to

change a lot for the option to have a positive payoff) are

overpriced and earn low average returns. Suggest an

explanation for this finding.

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