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.
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Who explained market-neutral delta hedging?
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