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Fig. 9 | Financial Innovation

Fig. 9

From: Intelligent option portfolio model with perspective of shadow price and risk-free profit

Fig. 9

The relationship between underlying asset prices and expected wealth of the risk-free model. Note: This graph depicts the effect of forward price changes on the expected wealth of the risk-free model. The curved surface is the expected wealth value of the multi-asset risk-free model. The dark green surface is the risk-free range of the model. The light green color indicates the initial wealth for comparison purposes. The orange and yellow lines are the expected wealth of the 50 ETF and 300 ETF option portfolios, respectively. The vertical line indicates the price of the underlying asset at the final exercise. The blue line then shows the position of the final wealth under the multi-asset model

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