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Contribution Details

Type Working Paper
Scope Discipline-based scholarship
Title The Trend is Your Friend: Absence of Pin Risk in Trend Options and Time Diversification
Organization Unit
  • Markus Leippold
  • Jürg Syz
  • English
Institution University of Zurich
Series Name SSRN
Number 796070
Date 2005
Abstract Text Options whose payoff are linked to the trend of an underlying rather than to the underlying itself have many advantages, both for investors and hedgers. We describe the properties of trend options and show how the pin risk of these contracts is withdrawn.
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