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socketnaut
2225 days ago
I see, so you're saying the expected profit on the trade is $0 assuming an efficient market and ignoring trading costs? Your comment is confusing the way it's worded because the expected value of the option is non-zero.
1 comments
jaredtn
2225 days ago
Ah, sorry for that. I meant E[return on option - cost of option] ~= 0.
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