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- W3125356565 abstract "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." @default.
- W3125356565 created "2021-02-01" @default.
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- W3125356565 date "2001-03-01" @default.
- W3125356565 modified "2023-09-27" @default.
- W3125356565 title "A paradox of diffusion market model related with existence of winning combinations of options" @default.
- W3125356565 hasPublicationYear "2001" @default.
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