Arbitrage hedging strategy and one more explanation of the volatility smile
AbstractWe present an explicit hedging strategy, which enables to prove arbitrageness of market incorporating at least two assets depending on the same random factor. The implied Black-Scholes volatility, computed taking into account the form of the graph of the option price, related to our strategy, demonstrates the "skewness" inherent to the observational data.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1102.5525.
Date of creation: Feb 2011
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Web page: http://arxiv.org/
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