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Valuing options with "gamma rent"
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AT-August 2007-6
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The gamma rent formula can find mispriced options faster and more effectively than many other approaches.
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Detailed Description
The most important task option traders face is determining whether an option is cheap or expensive. If you pay too much for an option or sell one too cheaply, your chances of success will be slim, regardless of how profitable the strategy has been in the past.
That begs the question: What is the best way to determine if an option is a bargain or not?
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