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Old 11-17-2005, 11:37 PM
crazy canuck crazy canuck is offline
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Join Date: Sep 2002
Location: Toronto canada
Posts: 657
Default Re: World Economy v. Poker??? Zero-Sum????

Never mind. I think becasue the option is already discounted, if you are long it has an expected return equal to the interest rate, but the person on the other side of the trade loses an expected amount equal to the interest rate. So yes it is zero sum (without transaction costs).

I was also thinking of the delta neutral portfolio.
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