Short Positions, Rally Fears and Option Markets
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References listed on IDEAS
- Goldman, M Barry & Sosin, Howard B & Gatto, Mary Ann, 1979. "Path Dependent Options: "Buy at the Low, Sell at the High"," Journal of Finance, American Finance Association, vol. 34(5), pages 1111-1127, December.
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KeywordsSpectrally negative processes; implied volatility smiles; two-sided exit problems;
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