r*****t
发帖数: 286 | 1 ☆─────────────────────────────────────☆
scotthuang (scott) 于 (Mon Mar 26 13:59:12 2007) 提到:
Suppose in a black-scholes world, r=0. And you have a digital option which
pays 1 dollar at T if S_T > K. If price of the stock doesn't change for a
period of delta t after the issuance, the price of the option goes up.
However, no hedging strategy using bonds and stocks can produce the rise in
value. (stock price doesn't change. Bond price doesn't change either as r =
0)
Isn't it strange?
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