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, ...
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