Furthermore, applications of option pricing formulas to trading activities seem to suffer a
strange inconsistency. We imagine that the stock and bond are perfectly priced and perfectly
liquid – available for perfect hedging. Then, we search for options that are priced incorrectly
as trading opportunities. If the options can be priced wrong, why can’t the stock and bond
be priced wrong? We should treat all assets symmetrically in evaluating trading opportunities.
Trading opportunities also involve risk, and a theory that pretends they are arbitrage
opportunities does not help much to quantify that risk.

cochrane    asset pricing

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