State the term dispersion trading
State the term dispersion trading?
Expert
Dispersion trading is a strategy including the selling of options on an index against buying a basket of options upon individual stocks. This strategy is a play upon the behaviour of correlations throughout normal markets and throughout large market moves. When the individual assets returns are extensively dispersed then there may be little movement into the index, however a large movement in the individual assets. It would result in a large payoff on the individual asset options other than little to payback upon the short index option.
At the beginning of the year of 1996, the yearly interest rate was 6 percent in the United States and 2.8 percent in Japan. At the time the exchange rate was 95 yen per dollar. Mr. Jorus, the manager of a Bermuda-based hedge fund, thought that the substantial
Explain the term Modigliani–Modigliani measure.
What is the Kelly Criterion?
A firm is evaluating two mutually exclusive projects that have unequal lives. Evaluate the projects using the equivalent annual annuity approach (EAA), recommend which project they should select. The firm's cost of capital has been determined to be 18 percent, and the projects have the following i
How is risk and return related to the market as a whole? Give an example.
Describe the long position in an options contract?An option is a contract giving the long the right to buy or sell a given quantity of an asset at a particular price at some time in the future, however not enforcing any obligation on him if the
Explain an example of probabilities in a simple coin-tossing experiment one thousand tosses.
State the term Option Adjusted Spread? Answer: The OAS stands for Option Adjusted Spread is the constant spread added to a forward or a yield curve to match the mark
The United States contain experienced continuous present account deficits since the early 1980s. What do you think are the foremost reason for the deficits? What would be the consequences of continuous U.S. present account deficits?The present a
Explain linear or non-linear in Monte Carlo method.
18,76,764
1932307 Asked
3,689
Active Tutors
1421590
Questions Answered
Start Excelling in your courses, Ask an Expert and get answers for your homework and assignments!!