The Stop-Loss Start-Gain Paradox and Option Valuation: A new Decomposition into Intrinsic and Time Value

Peter Carr and Robert Jarrow ()

Chapter 4 in Financial Derivatives Pricing:Selected Works of Robert Jarrow, 2008, pp 61-84 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:The Black–Scholes Model, Terminology, and the Stop-Loss Start-Gain StrategyResolution of the ParadoxValuation ResultsGeneralizing the Stock-Price ProcessConclusionsAppendixContinuous semimartingalesGeometric Brownian motionTime-homogeneous diffusion processesReferences

Keywords: Derivatives; Options; Hedging; HJM; Black–Scholes; Forwards; Futures; Martingale Measure; Calls; Puts; Market Manipulation; Margin Requirements (search for similar items in EconPapers)
Date: 2008
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Related works:
Journal Article: The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value (1990)
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