Index
A
accuracy, comparing alternatives versus, 56-57
“Adjustments for Anticipated Days of Higher Volatility” (McDonald), 59
alternative comparison with visual option pricing method, 56-57
annualized average theta, 183-184
annuities. See SynAs (synthetic annuities)
Apple (turbulent markets example), 138-143
AQR Capital Management, 2
arbitrage in put-call parity, 203-204
Asness, Cliff, 2
assigning probabilities, 107-110
assumed drift, 156
assumptions
in Black-Scholes formula, 48-49, 100-102
effect of changes, 93
average annualized theta
in short put option investment profile, 196
Average Value at Risk. See CVaR (Conditional Value-at-Risk)
B
backward equation, ...
Get Visual Quantitative Finance: A New Look at Option Pricing, Risk Management, and Structured Securities now with the O’Reilly learning platform.
O’Reilly members experience books, live events, courses curated by job role, and more from O’Reilly and nearly 200 top publishers.