Options Arbitrage in Imperfect Markets
- 1 December 1989
- journal article
- Published by JSTOR in The Journal of Finance
- Vol. 44 (5) , 1289-1311
- https://doi.org/10.2307/2328643
Abstract
Option valuation models are based on an arbitrage strategy—hedging the option against the underlying asset and rebalancing continuously until expiration—that is only possible in a frictionless market...Keywords
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