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Bull-Cum-Bear Option


A zero coupon note which is constructed by combining a deep in-the-money call option with a deep in-the- money put option, with the possibility to close out either option before maturity so that the whole position can be converted into the other option. The combined option is similar to a bond attached to offsetting long and short forward contracts. Each of these forward contracts can be cancelled out by early termination to provide an option holder with a favorable risk exposure.


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