A Logical Approach to Actuarial Mathematics 4 potx

... 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

... 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 by other stationary ... Coca-Cola at 52.67, the August 55 calls are priced at 1 .45 . Let’s assume that Coca-Cola immediately rallies $5, to 57.67. At this point, your short 60 calls will be worth approximately 1...

Ngày tải lên: 21/06/2014, 08:20

... between trading and gambling. Reminiscences of a Stock Operator (20 04) by William J.O’Neil and Edwin Lefevre, John Wiley & Sons. A classic, for market awareness about stock manipulators. The ... value changes through a 1 per cent change in the implied volatility. Vertical spread A call or put spread. Volatility A one-day, one standard deviation move, annualised. Volatility, h...

Ngày tải lên: 21/06/2014, 08:20

... 1.3. Table 2.3 Selling a call XYZ 95 96 97 98 99 100 101 102 103 1 04 105 106 107 108 109 110 Income from call 4 4 4 4 4 4 4 4 4 4 4 4 4 4 4 4 Value of call at expiration 0 0 0 0 0 0 –1 –2 –3 4 ... 92 93 94 95 96 97 98 99 100 101 102 103 1 04 105 Cost of put 4 4 4 4 4 4 4 4 4 4 4 4 4 4 4 4 Value of put at expiration 10 9 8 7 6 5 4 3 2 1 0 0 0 0 0...

Ngày tải lên: 21/06/2014, 08:20

... 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 risk. These strategies ... 10.00 42 0 1.88 0.12 41 .88 0.83 0.006 5.50 44 0 0.63 0. 04 60.50 0.96 0.003 2.25 As we said in Chapter 3, all options lose their value at an accelerated rate as they approach expira...

Ngày tải lên: 21/06/2014, 08:20

... decreasing historical and implied volatility, and low historical and implied volatility. Spreads for volatile markets, such as the long straddle, profit from increased volatility, both historical ... These spreads are best opened when the market has been active, and when absolute move- ment has started to decrease. The same spread can often be traded in either volatile or stationary mar-...

Ngày tải lên: 21/06/2014, 08:20

... short call. Misconceptions to clear up about straight call and put positions Remember, there are two advantages to a call purchase. They must both be seen as alternatives to buying a stock or ... Volatility skews 209 Table 20 .4 January Treasury Bond options January Treasury Bond options 24 days until expiration March future at 128.01 Strike Call value Call implied Call del...

Ngày tải lên: 21/06/2014, 08:20

... 1 140 call at expiration SPZ 1080.00 1 140 .00 11 74. 40 1200.00 Cost of December 1 140 call – 34. 40 Value of call at expiration 0.00 0.00 34. 40 60.00 Call profit/loss – 34. 40 – 34. 40 0.00 25.60 Table ... (1 140 .70 = 34. 40 – 33.70 + 1 140 ), and Strike price = futures + put – call (1 140 = 1 140 .70 + 33.70 – 34. 40) All this really tells us is that a call and a put at the same...

Ngày tải lên: 21/06/2014, 08:20

... 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 profits or ... lever- age. They tried to apply the manufacturing model to derivatives. A disaster waiting to happen. In the case of the oil company, it appears that in order to cut costs, they outs...

Ngày tải lên: 21/06/2014, 08:20

... wearing a 40 0 A LAYERED APPROACH TO NLP-BASED INFORMATION RETRIEVAL Sharon Flank SRA International 43 00 Fair Lakes Court Fairfax, VA 22033, USA flanks~sra.com Abstract A layered approach ... corresponds to a location, a location expansion pro- cess is invoked that, accessing a gazetteer, displays the location and related locations, such as Arlington, Virgini...

Ngày tải lên: 08/03/2014, 05:21