84 lines
1.9 KiB
Plaintext
84 lines
1.9 KiB
Plaintext
Index • 311
|
||
J
|
||
Jaguar, 103
|
||
Joint ventures (JVs), 84–85
|
||
JP Morgan Chase, 236–237
|
||
K
|
||
Kahneman, Daniel, 42, 123, 126
|
||
Keen, Steven, 43
|
||
Keynes, John Maynard, 263
|
||
Kroger, 100
|
||
K/S (see Strike–stock price ratio)
|
||
L
|
||
Lambda, 169–173
|
||
Large numbers, law of, 85, 297n2
|
||
(Chapter 4)
|
||
Last (option quotes), 146
|
||
LEAPS (see Long-term equity
|
||
anticipated securities)
|
||
Legs (option structure), 27
|
||
Lehman Brothers, 264
|
||
Lenovo, 299n5 (Chapter 5)
|
||
Leptokurtic distribution, 45
|
||
Leverage, 163, 282–286
|
||
financial, 164, 197–199, 285–286
|
||
operating (operational), 101,
|
||
197–199, 282–284
|
||
(See also Investment leverage)
|
||
Leverage ratio, 228–229
|
||
Levered investments, portfolios with,
|
||
176–183
|
||
Liabilities, hidden, 110–111
|
||
Life insurance companies, 135
|
||
Liquidity risk, 256, 263
|
||
Listed look-alike option market, 6
|
||
Literary work, options on, 5–6
|
||
Lo, Andrew, 42
|
||
Load, 132, 134
|
||
Loans, call options as,
|
||
167–168
|
||
Lognormal curve, 37
|
||
Lognormal distribution,
|
||
36–37
|
||
Long calls, 13, 189–201
|
||
about, 189
|
||
BSM cone, 189
|
||
in long diagonals, 235–237
|
||
portfolio management with,
|
||
196–201
|
||
strike price for, 192–196
|
||
tenor for, 190–192
|
||
Long diagonals, 235–237
|
||
Long puts, 201–205
|
||
about, 201–202
|
||
BSM cone, 201
|
||
portfolio management with,
|
||
204–205
|
||
in short diagonals, 238–240
|
||
strike price for, 203
|
||
tenor for, 202–203
|
||
Long straddles, 208–209
|
||
Long strangles, 26–27, 205–207, 209
|
||
Long-term equity anticipated
|
||
securities (LEAPS), 153, 191,
|
||
280–281
|
||
Loss leverage:
|
||
conventions for, 182–183
|
||
formula, 178–179
|
||
with short puts, 211–212
|
||
Losses:
|
||
with levered vs. unlevered
|
||
instruments, 165–166
|
||
locking in, 245–247
|
||
on range of exposure, 15
|
||
unrealized, 175–176
|
||
(See also Realized losses)
|
||
M
|
||
MacKinlay, Craig, 42
|
||
Margin calls, 168
|
||
Margin of safety, 197–199
|
||
Margin requirements, 211–212
|
||
Market conditions, 59–74
|
||
assumptions about drift and
|
||
dividend yield, 67
|
||
simultaneous changes in, 67–74 |