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Don FishbackOptions, Probability, Products, VolatilityLeave a Comment

The OptionMetrics Research Conference was held a couple of months ago. And there was one particular paper that really caught my attention. That’s because it covered the exact topic that I have been investigating the past several months: the Implied Borrow Rate. Without diving into the details too much, option prices tend to follow something called put-call parity. That is, … Read More