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- W1964200712 abstract "What happens to the price of a put in a period during which the stock price stays constant? The hedging strategy implicit in the Black-Scholes model would seem to imply that the put goes up in value. Pure arbitrage arguments imply the opposite result. This paper resolves the paradox and uses it to explore the restrictions inherent in the diffusion processes assumed for all option pricing models." @default.
- W1964200712 created "2016-06-24" @default.
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- W1964200712 date "1988-03-01" @default.
- W1964200712 modified "2023-09-26" @default.
- W1964200712 title "A Put Option Paradox" @default.
- W1964200712 cites W2077791698 @default.
- W1964200712 cites W2146612430 @default.
- W1964200712 doi "https://doi.org/10.2307/2331021" @default.
- W1964200712 hasPublicationYear "1988" @default.
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