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- W1870784144 abstract "Derman and Taleb (The Issusions of Dynamic Hedging, 2005) uncover a seeming anomaly in option pricing theory which suggests that static hedging based on put-call parity provides sufficient theoretical support to justify risk-neutral option pricing. From this they suggest that dynamic hedging as a theoretical basis for the celebrated option pricing model of Black and Scholes (1973) and Merton (1973), while correct, is redundant [see also Haug and Taleb (Why We Have Never Used the Black-Scholes-Merton Option Pricing Formula, 2009)]. This paper examines the anomaly and finds that put-call parity does not provide a basis for risk-neutral option pricing." @default.
- W1870784144 created "2016-06-24" @default.
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- W1870784144 date "2009-01-01" @default.
- W1870784144 modified "2023-09-23" @default.
- W1870784144 title "Why We Have Always Used the Black-Scholes-Merton Option Pricing Formula" @default.
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- W1870784144 doi "https://doi.org/10.2139/ssrn.1357125" @default.
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