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Quantitative Finance · Glossaire

Qu'est-ce que « Jelly roll » ?

Definition 20.2 Market Making and High-Frequency Trading · Chapitre 20 — Options: Cross-Venue and Volatility Arbitrage at Speed

A jelly roll is a long synthetic forward (long call, short put) in one expiry against a short synthetic forward in another, at the same strike; its price is the difference of two forwards and implies the cost of carry (financing less dividends and borrow) between the two expiries.

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