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Activity Number:
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473
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Type:
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Contributed
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Date/Time:
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Wednesday, August 1, 2007 : 2:00 PM to 3:50 PM
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Sponsor:
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Business and Economics Statistics Section
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| Abstract - #310390 |
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Title:
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Trading American Stock Options Amidst Market/Model Disparity
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Author(s):
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Scott Nickleach*+
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Companies:
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University of Pittsburgh
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Address:
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Rd2 Box26, Worthington, PA, 16262,
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Keywords:
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Monte Carlo ; stock option ; simulation
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Abstract:
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A disparity between model prices and market prices is a common shortcoming of most stock option pricing models. We shall consider the problem of trading American style exchange traded options under certain model mispricing. We use a series of estimated conditional expectations to formulate trading strategies, with the aim of gaining some level of control over the distribution of returns.
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