Validation of profit and loss attribution models for equity derivatives

Dilip B. Madan and King Wang

Journal of Risk Model Validation

Abstract: In this paper, improvements made in profit and loss attribution models for derivatives by treating traditional sensitivities as regression factors are validated. Options surfaces are parametrically summarized permitting a decomposition of their movements into a number of distinct effects.

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Persistent link: https://EconPapers.repec.org/RePEc:rsk:journ5:5452281

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