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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 |
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| 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 We describe the properties of trend options and show how the pin risk of these contracts is withdrawn. |
| Official URL | http://papers.ssrn.com/sol3/papers.cfm?abstract_id=796070 |
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