Link to Post on X – x.com/nntaleb/status/2021617572467368374
Link to Paper – arxiv.org/pdf/2602.14350
[X] Hidden Optionalities and Risks in American Options
From Taleb’s Recommended Reading
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Are these rates nominal or real? More importantly, the transaction cost from the foreign desk to the home base desk is important to see if the arbitrage was still significant?