Question
Suppose the actual price of the call is $3.10. Believing in your estimate of Nordstrom's volatility, you try to exploit the mispricing. How many
Suppose the actual price of the call is $3.10. Believing in your estimate of Nordstrom's volatility, you try to exploit the mispricing. How many dollars of Nordstrom stock would you need to buy or sell today in your dynamic arbitrage strategy?
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An Introduction to the Mathematics of financial Derivatives
Authors: Salih N. Neftci
2nd Edition
978-0125153928, 9780080478647, 125153929, 978-0123846822
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