Arbitrage Hedging Strategy and One More Explanation of the Volatility Smile
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چکیده
We present an explicit hedging strategy, which enables to prove arbitrageness of market incorporating at least two assets depending on the same random factor. The implied Black-Scholes volatility, computed taking into account the form of the graph of the option price, related to our strategy, demonstrates the ”skewness” inherent to the observational data.
منابع مشابه
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تاریخ انتشار 2011