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To: Chuzzlewit who wrote (81900)11/23/1998 11:44:00 AM
From: Geoff Nunn  Read Replies (2) | Respond to of 176387
 
Chuz, I'm assuming equal expected return across all options - not equal risk. To keep the problem manageable, lets try to hold some things constant. Let's compare at the money short term options with at the money long term options. Would you not agree that in this special case - given the EMH assumption, that long term is better?

Geoff