TRADING OPTIONS AND THEIR UNDERLYING ASSET: RISK MANAGEMENT IN DISCRETE TIME

Mondher Bellalah
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Mondher Bellalah: Université de Cergy-Pontoise, France

Chapter 3 in Derivatives, Risk Management & Value, 2009, pp 141-217 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Chapter OutlineIntroductionBasic Strategies and Synthetic PositionsOptions and synthetic positionsLong or short the underlying assetLong a callShort callLong a putShort a putCombined StrategiesLong a straddleShort a straddleLong a strangleShort a strangleLong a tunnelShort a tunnelLong a call bull spreadLong a put bull spreadLong a call bear spreadSelling a put bear spreadLong a butterflyShort a butterflyLong a condorShort a condorHow Traders Use Option Pricing Models: Parameter EstimationEstimation of model parametersHistorical volatilityImplied volatilities and option pricing modelsTrading and Greek lettersSummaryCase StudiesExercisesReferences

Keywords: Options; Forwards; Futures; Valuation; Hedging; Arbitrage; Speculation; Pricing (search for similar items in EconPapers)
Date: 2009
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