A Logical Approach to Actuarial Mathematics 1 ppt

... decline. Just as you may have purchased a call to cap- ture an upside move, you now may purchase a put to capture a downside move. (Your advantage, as an alternative to taking a short position ... Below 10 0 a total loss of 4 is realised. A corresponding table of this profit/loss position at expiration is shown in Table 1. 1. 95 10 0 10 5 11 0 –5 10 Figure 1. 2 Of...

Ngày tải lên: 21/06/2014, 08:20

... relating to Table 11 .4 11  Volatility spreads 11 3 The risk, or the trade-off, of the long straddle is that the market may stay in its present range, and that the implied volatility may ... 10 .2 Expiration profit/loss relating to Table 10 .3 Many investors create spreads that combine components of the standard spreads to suit a particular outlook and strategy 11...

Ngày tải lên: 21/06/2014, 08:20

... volatility 11 2 0. 01 11. 21 114 0.03 11 .47 11 6 0.06 11 . 21 118 0 .11 10 .84 12 0 0 .19 10 .38 12 2 0.33 10 . 01 124 0.57 9.76 12 6 3. 31 9.57 1. 30 9.55 *12 8 2.22 9.44 2.20 9.43 10 0 10 6 11 2 11 8 12 4 13 0 13 6 14 2 ... 19 .60 6.75 18 .87 585 13 .50 18 .44 8.38 18 . 21 *590 10 .50 17 .82 10 .50 17 .82 595 7.75 16 .98 600 5.38 16 .06 605 3.63 15 .4...

Ngày tải lên: 21/06/2014, 08:20

... spread 16 0 * long diagonal put spread 16 0 Volatile market spreads Stationary market spreads long straddle 11 0 short straddle 11 4 long strangle 11 6 short strangle 11 8 * long iron butterfly 12 1 ... illustration, a set of options on a stock index is given in Table 8 .1: SPDR at 11 5.22 45 days until June expiration Contract multiplier of $10 0 Table 8 .1 SPY options Strike...

Ngày tải lên: 21/06/2014, 08:20

... of $1. 00, or a risk/return ratio of 1/ 3. 6 In tabular form the expiration profit/loss is as in Table 8.4. Table 8.4 Long SPY June 11 3 11 1 put spread Microsoft 10 9 11 0 11 1 11 2 11 2.50 11 3 11 4 11 5 ... Table 8.5. Table 8.5 Short SPY June 11 3 11 1 put spread SPY 10 9 11 0 11 1 11 2 11 2.5 11 3 11 4 11 5 Spread credit 0.50 Value of spread at expiration –2 –2 –2...

Ngày tải lên: 21/06/2014, 08:20

... is at 10 0, and you expect it to rally into a range of between 10 5 and 11 5, then you can buy the 10 0 11 0 12 0 call but- terfly. This spread costs more than the adjacent strike, 10 5 11 0 11 5 call ... purchase of a put. The long calendar spread or long time spread Calendar spreads in particular can be complicated, and their return poten- tials can in many cases be duplicated...

Ngày tải lên: 21/06/2014, 08:20

... profit/loss tables for the 11 40 call (Table 21. 1) and the 11 40 synthetic call (Table 21. 2). Table 21. 1 Profit/loss of SPZ December 11 40 call at expiration SPZ 10 80.00 11 40.00 11 74.40 12 00.00 Cost ... to open a futures contract, and this deposit is known as initial margin. The value of the contract as traded on the exchange invariably fluctuates, and so results in a p...

Ngày tải lên: 21/06/2014, 08:20

... Value of put at expiration 15 .00 10 .00 5.00 1. 51 0.00 0.00 0.00 P/L 13 .49 –8.49 –3.49 0 1. 51 1. 51 1. 51 –0 .18 2 1. 5 1 0.5 0 –0.5 18 18 .5 –0 .18 –0 .18 0.32 0.82 1. 32 1. 82 19 19 .5 20 20.5 21 Answer ... 553 = 18 8 gain for the shares, versus 7 41 – 624 = 11 7 gain for the call 18 8 – 11 7 = 71 greater gain for the shares 18 8 ÷ 11 7 = 1. 61 or retur...

Ngày tải lên: 21/06/2014, 08:20

... volatile and stationary 11 0 gamma 57–8, 11 0, 11 2, 307 long straddle 57, 11 0 13 long strangle 11 6 18 market volatility 10 9 10 short straddle 57, 11 4 16 short strangle 11 8 19 theta 11 0, 11 8, ... 13 9–40 volatility, dates until expiration and 14 9 buy-stop 91, 10 1, 19 6 buy-write 15 1–5 risk management 15 5–7 calendar spread 15 1, 15 7–9, 305 risks 15...

Ngày tải lên: 21/06/2014, 08:20

... ktaabab XII ktawtab XIII kta_w_wab XIV ktanbab XV kta~_bay II dai3.ra j rolled V _tadal3ra j caused to roll XI .d.harjaj XIV d.hm3ra j Figure 1: Arable Data based on (McCarthy 19 81) ... caused to write HI kaatab corresponded IV _?aktab dictated V takattab VI takaatab kept up a correspondence VII _nkatab subscribed VIII k tatab copied IX ktabab X staktab had a copy...

Ngày tải lên: 09/03/2014, 01:20