What is nonlinearity in option pricing model
What is nonlinearity in option pricing model?
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Nonlinearity in an option pricing model implies that the value of a portfolio of contracts is not essentially the same as the sum of its constituent parts values. An option will have a various value depending on what else is within the portfolio with this, and an exotic will have a different value depending on what this is statically hedged along with.
Flow variables: Any variable, whose magnitude is evaluated over a time period, is termed as glow variable.
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Money Spreads: Option trading strategies can be classified into various types like those pertaining to combination of one option with another option or set of options, other derivative contracts, stocks, etc. This paper focuses mainly on money spreads
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what can we expanded opportinity set of international finance?
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