Risk 1 - Hans Buehler
Risk 1 - Hans Buehler
Risk 1 - Hans Buehler
SHOW LESS
You also want an ePaper? Increase the reach of your titles
YUMPU automatically turns print PDFs into web optimized ePapers that Google loves.
Modeling <strong>Risk</strong> – Basics<br />
Black & Scholes – Break Even Vol<br />
• Break Even Vol<br />
— Note that for practical computation, needs to be computed carefully;<br />
the so-called ―optionality theta‖ is the raw theta<br />
<br />
optionalit y<br />
= <br />
simpleshift<br />
{dividends<br />
funding<br />
client cashflows}<br />
• In other words,<br />
s<br />
2<br />
break even<br />
<br />
optionalit y<br />
: = <br />
$<br />
2<br />
dt<br />
19
Change language