How is estimate of volatility or the implied volatility used
How is estimate of volatility or the implied volatility used?
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When you hedge options you have to select whether to utilize a delta based on your own estimate of volatility or the implied volatility. If you need to ignore fluctuations in your mark-to-market P and L you will hedge by using the implied volatility, even if you may believe this volatility to be incorrect.
How is hedging requirement decreased by a gamma-neutral strategy?
Determine the efficiency of Monte Carlo method.
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What is the Volatility Smile?
If a convertible bond has a conversion ratio of 20, a coupon rate of 8 percent, a face value of $1,000 and the market price for the company’s stock is $15 per share, what is the convertible bond’s conversion value?
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What is Extreme Value Theory?
Explain econometric models.
Consider 8.5 % Swiss franc/U.S. dollar dual currency bonds which pay $666.67 at maturity per SF1,000 of par value. Describe implicit SF/$ exchange rate at maturity? Will the investor be better or worse off at maturity if the real SF/$ exchange rate
Explain the factors that responsible for the recent surge in international portfolio investment (IPI)?
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