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Limit moves and price resolution: A reply

โœ 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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๐Ÿ“œ SIMILAR VOLUMES


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## 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

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