A paradox of diffusion market model related with existence of winning combinations of options

Details A paradox of diffusion market model related with existence of winning combinations of options A paradox of diffusion market model related with existence of winning combinations of options

2001-03-19

arxiv.org/abs/math/0103118v1

Mathematics

Probability

8 pages

Scientific paper

We consider strategies of investments into options and diffusion market model. It is shown that there exists a correct proportion between "put" and "call" in the portfolio such that the average gain is almost always positive for a generic Black and Scholes model. This gain is zero if and only if the market price of risk is zero. It is discussed a paradox related to the corresponding loss of option's seller.

Affiliated with

Also associated with

No associations

Rating

A paradox of diffusion market model related with existence of winning combinations of options does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with A paradox of diffusion market model related with existence of winning combinations of options, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and A paradox of diffusion market model related with existence of winning combinations of options will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-189072