Optimal Option Portfolio Strategies: Deepening the Puzzle of Index
... into account is thus critical but unfortunately hard to do within the traditional optimization approach. We offer a simple portfolio optimization method – optimal option portfolio strategies (OOPS) – that solves these problems. Instead of a mean-variance objective, we maximize ...
... into account is thus critical but unfortunately hard to do within the traditional optimization approach. We offer a simple portfolio optimization method – optimal option portfolio strategies (OOPS) – that solves these problems. Instead of a mean-variance objective, we maximize ...
monte carlo simulation in financial engineering
... introduced, whose dynamic is given by dSt0 /St0 = rt dt, where rt is the instantaneous risk free interest rate at time t. Based on such models, starting from Black and Scholes (1973) and Merton (1973), an elegant and remarkably practical mathematical theory of derivative pricing has been developed. ...
... introduced, whose dynamic is given by dSt0 /St0 = rt dt, where rt is the instantaneous risk free interest rate at time t. Based on such models, starting from Black and Scholes (1973) and Merton (1973), an elegant and remarkably practical mathematical theory of derivative pricing has been developed. ...
a diversified portfolio of alternative strategies
... An investor should consider the Fund’s investment objectives, risks and fees and expenses carefully before investing. This and other important information can be found in the Fund’s prospectus, and if available summary prospectus, which you can obtain by calling 877.628.2583. Please read the prospec ...
... An investor should consider the Fund’s investment objectives, risks and fees and expenses carefully before investing. This and other important information can be found in the Fund’s prospectus, and if available summary prospectus, which you can obtain by calling 877.628.2583. Please read the prospec ...
Financial Accounting and Accounting Standards
... O 4 Explain how to account for a fair value hedge. ...
... O 4 Explain how to account for a fair value hedge. ...
U.S. EQUITY HIGH VOLATILITY PUT WRITE INDEX FUND (NYSE
... Non-Correlation Risk. The Fund’s return may not match the return of the Index for a number of reasons. For example, an option sold by the Fund may be exercised prior to its expiration, which will result in the Fund buying the underlying stock at that time and holding the stock until the end of the ...
... Non-Correlation Risk. The Fund’s return may not match the return of the Index for a number of reasons. For example, an option sold by the Fund may be exercised prior to its expiration, which will result in the Fund buying the underlying stock at that time and holding the stock until the end of the ...
Optimal Delta Hedging for Options
... A number of researchers have implemented stochastic volatility models and used the models’ assumptions to convert the usual delta to an MV delta. They have found that this produces an improvement in delta hedging performance, particularly for out-of-the-money options. The researchers include Bakshi ...
... A number of researchers have implemented stochastic volatility models and used the models’ assumptions to convert the usual delta to an MV delta. They have found that this produces an improvement in delta hedging performance, particularly for out-of-the-money options. The researchers include Bakshi ...
advanced cotton futures and options strategies
... options expire, both put options will expire worthless. Taking into consideration the producer paid 1.25 cents per pound for the strategy, the loss would equal the initial cost. If the futures price equals 74 cents per pound when the put options expire, the purchased put option would have a positive ...
... options expire, both put options will expire worthless. Taking into consideration the producer paid 1.25 cents per pound for the strategy, the loss would equal the initial cost. If the futures price equals 74 cents per pound when the put options expire, the purchased put option would have a positive ...
An Introduction to Value At Risk
... • FX – spot, ATM volatility, foreign and domestic rates, risk-reversals and butterflies • Commodities – spot, ATM volatility, various measures of skew • Interest Rates – forward swap rates, ATM volatilities, volatility skew for each expiry and tenor. ...
... • FX – spot, ATM volatility, foreign and domestic rates, risk-reversals and butterflies • Commodities – spot, ATM volatility, various measures of skew • Interest Rates – forward swap rates, ATM volatilities, volatility skew for each expiry and tenor. ...
______ is NOT a commonly used contractual hedge against foreign
... 7) A US exporter is concerned about the depreciation of JPY against USD due to JPY receivables of JPY400,000,000 on February 1st ( in 167 days). To hedge (protect himself/herself) the position, exporter decides to use futures markets. Currently CME (Chicago Mercantile Exchange) JPY contracts (12,500 ...
... 7) A US exporter is concerned about the depreciation of JPY against USD due to JPY receivables of JPY400,000,000 on February 1st ( in 167 days). To hedge (protect himself/herself) the position, exporter decides to use futures markets. Currently CME (Chicago Mercantile Exchange) JPY contracts (12,500 ...