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More Techniques For Better Attributions
portion of change attributed to component i, and u and v are the vectors of the attribution components ... Dec. 31, 2007 through Dec. 31, 2012, issuing 10 S&P 500 options, one each on the last business day ...- Authors: Mark Evans
- Date: Feb 2014
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Technical Skills & Analytical Problem Solving>Innovative solutions; Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods>Estimation methods
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Residual Risk When Hedging Delta and Rho of Equity Options
Input data included the daily closing value of the S&P 500 index price from Jan. 2, 1962 through Sept ... This procedure is roughly calibrated to historical S&P 500 re- turns. 10-YEAR PUT OPTION HEDGING For the ...- Authors: Mark Evans
- Date: Mar 2016
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Annuities>Equity-indexed annuities; Annuities>Fixed annuities; Enterprise Risk Management>Capital markets; Finance & Investments>Derivatives