A Logical Approach to Actuarial Mathematics 3 pdf

... corresponds to low return. The advantage of options spreads is that each investor can take the amount of risk that he is able to justify and manage. This part outlines the major strategies that spread ... word, and I stayed on to tally his position. 6 Gamma and theta It should be apparent after reading the previ- ous chapter that delta is an indispensable tool for understanding an...

Ngày tải lên: 21/06/2014, 08:20

... 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 ... value at an accelerating rate as it approaches expiration. Another way of stating this is that the proportion of an option’s daily time decay to its value increases toward expirat...

Ngày tải lên: 21/06/2014, 08:20

... equidistance 4 may vary, however, from adjacent to any number of non-adjacent strikes. For example, if XYZ is at 100, a call ladder may have strike prices at 105, 110 and 115, or it may have strike ... have a contingency plan as part of your risk scenario. At the same time as you place your spread order, you should also place a buy-stop, market order for a covering option that...

Ngày tải lên: 21/06/2014, 08:20

... back. 33 0 5 10 15 20 25 0 –5 –10 –15 –20 –25 31 0 32 0 34 0 35 0 36 0 37 0 38 0 39 0 Figure 11.2 Expiration profit/loss relating to Table 11 .3 11  Volatility spreads 119 Credit from April 37 0 call: 3. 75 Credit from April 33 0 put: 3. 75 ... easier to live with. The following spreads all have more manage- able risk. Again, all these spreads can be traded in one tra...

Ngày tải lên: 21/06/2014, 08:20

... combining call spreads and put spreads 145 T able 13. 5 Marks and Spencer long April 32 0 33 0 34 0 35 0 put condor M&S 31 0.00 32 0.00 32 2.25 33 0.00 34 0.00 34 7.75 35 0.00 36 0.00 Spread debit –2.25 Value ... spread debit: 36 0 – 3. 5 = 35 6.5 Lower break-even level: lowest strike plus spread debit: 33 0 + 3. 5 = 33 3.5 Profit range: 35 6.5 – 33 3.5 = 23 Maximum l...

Ngày tải lên: 21/06/2014, 08:20

... the market retraces and stabilises, and time decay begins to eat away at the puts, but by then the put sellers are only too glad to close their positions at a break-even level. Another reason ... historical data that large price changes in many underlyings occur with greater frequency than are accounted for by normal distribution. At least once in a generation an asteroid hits th...

Ngày tải lên: 21/06/2014, 08:20

... time to time, it’s an almost risk-free way to make money. So if you learn about the arb, then you’re prepared to take advantage of it when you see it. Read Part 4 at least once. Think about ... disorientation. What a futures contract is A futures contract is simply an agreement to trade a commodity, stock, bond or currency at a specified price at a specified future date....

Ngày tải lên: 21/06/2014, 08:20

... 247 3 In the UK, the FTSE-100 share index is currently trading at 5 133 , and the December 530 0 call is trading at 2 53. Assume that you are a large unit trust, and if you miss a year-end rally, ... what options are really about. Volatility data is also available from data vendors and exchanges. O Trade options with a durational outlook; when the duration has ended, take your pr...

Ngày tải lên: 21/06/2014, 08:20

... separate entry valuation formula 2 23 variation margin 222 futures options early exercise premium 34 exercise and assignment 31 –2 margin vs cash payment 29 pin risk 33 , 30 8 gamma 47, 110, 30 7 ... options 34 , 35 , 140, 141, 160, 30 5 boxes, trading 240 put–call parity 232 analysis of a trade 1 83 5 arbitrage 234 –5, 237 , 239 asymmetric or broken ladder 97, 30 7...

Ngày tải lên: 21/06/2014, 08:20

... made XI 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 1981) ... 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...

Ngày tải lên: 09/03/2014, 01:20