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100 strike call Arbitrage in Imperfect arbitrage mechanism arbitrage trade arbitrage-based at-the-money calls BASE CASE PRICE bid-ask spread Black-Scholes model Buy Sell Buy call option DAYS K=2 DEV MEAN STD earn the riskless excess return Foreign Exchange Market futures contracts G.A. Hawawini G.F. Udell hedge ratio hedge return hedge strategies hedged portfolio hedged position hedging an option impact implied volatility indivisibilities K.K. Lewis market imperfections market's volatility estimate MEAN STD DEV mispricing MODEL VALUE number of shares option contracts option pricing model options arbitrage options hedge options market maker options position parameter price series Published in Journal R.C. Stapleton realized volatility REBALANCE PRICE VOL REBALANCE WHEN h rebalancing retail trader riskless interest rate riskless rate Salomon Brothers Center sample Saunders Sell Buy Sell shares traded standard deviation STD DEV MEAN stock index options stock price strike price Table trading strategies transactions costs true volatility underlying asset valuation theory York University