## Abstract This note demonstrates that an asset's price in an environment with price limit rules can be replicated by the price of a portfolio consisting of a riskless asset and two synthetic options. A procedure is developed to unbundle the unobservable option values imbedded in the actual future
Limit moves and price resolution: A reply
โ Scribed by Christopher K. Ma; Ramesh P. Rao; R. Stephen Sears
- Publisher
- John Wiley and Sons
- Year
- 1992
- Tongue
- English
- Weight
- 159 KB
- Volume
- 12
- Category
- Article
- ISSN
- 0270-7314
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๐ SIMILAR VOLUMES
The authors gratefully acknowledge the assistance of Dr. Jim Wook Choi of the Chicago Board of Trade and the helpful comments provided by Franklin Edwards, the editorial staff and the anonymous referees of the Journal. Iln light of the October 19, 1987 market "crash," this argument is also shared b
n a recent note, Doukas and Rahman (1986) cited a well-known statistical fact I that assets with changing variances may exhibit leptokurtosis and non-normality, even when the true distribution is normal (Perry, 1983). Also, citing the Samuelson (1965) hypothesis that futures price volatility may inc