Let's consider a straddle on underlying with strike and expiry . You have a put option on , also with strike and expiry . This put option has . What is the of the straddle? Assume Black-Scholes dynamics.
Let's consider a straddle on underlying with strike and expiry . You have a put option on , also with strike and expiry . This put option has . What is the of the straddle? Assume Black-Scholes dynamics.
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