A Put Option Paradox
当股票价格保持不变时，看跌期权的价格会如何变化？Black-Scholes模型的对冲策略暗示价格上涨，而纯套利论证则得出相反结论。本文解决了这一悖论，并探讨了所有期权定价模型所假设的扩散过程的限制。
What happens to the price of a put in a period during which the stock price stays constant? The hedging strategy implicit in the Black-Scholes model would seem to imply that the put goes up in value. Pure arbitrage arguments imply the opposite result. This paper resolves the paradox and uses it to explore the restrictions inherent in the diffusion processes assumed for all option pricing models.