4648数理金融简单数值题short
Transaction Cost Breakeven 8
题目
A hedged option book expects to earn 37.5 of frictionless gamma/theta edge over the month. It will rebalance 25 times, with average absolute share turnover 200 shares per rebalance. What is the maximum per-share transaction cost that still leaves nonnegative expected net hedging P&L?
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