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Old 12-27-2013, 04:48 AM
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RyanLim RyanLim is offline
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Default Quick Questions

Dear all,

It turns out that the decline in the premium frm 40 to 45 must be greater than the decline 45 to 50, or else there is an arbitrage profit...Can some one explain to why? Isit related to sensitivity, delta?

Mc donald textbook

Last edited by RyanLim; 12-27-2013 at 06:54 AM..
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Old 12-27-2013, 06:32 AM
HypnoticSpecter HypnoticSpecter is offline
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ASM gives a good example.
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