Grinblatt, Mark; Johnson, Herb - In: Journal of Financial and Quantitative Analysis 23 (1988) 01, pp. 23-26
What happens to the price of a put in a period during which the stock price stays constant? The hedging strategy implicit in the Black-Scholes model would seem to imply that the put goes up in value. Pure arbitrage arguments imply the opposite result. This paper resolves the paradox and uses it...