caa a22 4500 386308926 CHVBK 20180307111538.0 cr unu---uuuuu 161130e198803 xx s 000 0 eng 10.2307/2331021 doi S0022109000012898 pii (NATIONALLICENCE)cambridge-10.2307/2331021 A Put Option Paradox [Elektronische Daten] What happens to the price of a put in a period during which the stock price stays constant? The hedging strategy implicit in the Black-Scholes model would seem to imply that the put goes up in value. Pure arbitrage arguments imply the opposite result. This paper resolves the paradox and uses it to explore the restrictions inherent in the diffusion processes assumed for all option pricing models. Copyright © School of Business Administration, University of Washington 1988 Grinblatt Mark Johnson Herb Journal of Financial and Quantitative Analysis Cambridge University Press 23/1(1988-03), 23-26 0022-1090 23:1<23 1988 23 JFQ https://doi.org/10.2307/2331021 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.2307/2331021 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Grinblatt Mark NATIONALLICENCE 700 1- Johnson Herb NATIONALLICENCE 773 0- Journal of Financial and Quantitative Analysis Cambridge University Press 23/1(1988-03), 23-26 0022-1090 23:1<23 1988 23 JFQ CC0 http://creativecommons.org/publicdomain/zero/1.0 nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-cambridge