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Bick and Willinger's conjecture on the Black–Scholes strategy at-the-money
Let $P$ be the price path, let $T$ be the terminal time, and let $K$ be the strike price. Define … When $P(T)=K$ , let $(\alpha,\beta)$ be the strategy constructed from the function…
Conjectureopenmathematical-finance stochastic-processes trading-strategiesarXiv posted 2 days ago

Bick and Willinger's conjecture on the Black–Scholes strategy at-the-money