Pereira, Alfredo M.; Tarter, M. Sean - In: Risks : open access journal 10 (2022) 7, pp. 1-12
In this paper, we focus on an implicit assumption in the BSM framework that limits the scope of market network connections to seeking gains in the currency basis, i.e., on trading strategies between the numeraire and the stock and between the numeraire and the option, separately. We relax this...