New answers tagged market-making
3
votes
Practically, are the prices of 0-strike European calls and stock identical?
The (call) price is undefined for $K=0$. You can only speak about the price as $K \downarrow 0$. Not the same thing as $\infty$ is not a number.
EDIT:
Following the question of @Kermittfrog, some more ...
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3
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Practically, are the prices of 0-strike European calls and stock identical?
I do not think anyone actually trades this but in any case, it would follow standard pricing logics.
If you have a strike of truly 0, volatility does not matter anymore. The expected future value of ...
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Market Making Game Strategy with Information Imbalance
If the interviewer is the only person you can trade with, and he has full information about the result (e.g. all the numbers of the phone number), while you have none, why would you ever make a trade ...
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