70 lines
1.9 KiB
Plaintext
70 lines
1.9 KiB
Plaintext
Index
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Adjusted volatility, 539
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Advanced concepts, 846-907
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"greeks," 848-866, 902-905
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delta, 848-853, 866
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gamma, 853-859, 867, 882
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gamma of the gamma, 865-866, 902-905
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rho, 864-865
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"six measures of risk," 865
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strategy considerations using, 866-901 (see also
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Advanced concepts, strategy considerations,
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using greeks)
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summary, 866
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theta, 862-864, 866
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vega/tau, 859-862, 866
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mathematical concepts, advanced, 901-907
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difference of implied volatilities, measuring, 905-907
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gamma of the gamma, 902-905
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"greeks," calculating, 901-902
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neutrality, 846-847
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strategy considerations, using "greeks," 866-901
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delta neutral, 868-879
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evaluating position using risk measures, 885-892
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mathematical approach, 883-885
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multifaceted neutrality, creating, 879-883
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risk exposure, general, of common, 866-868
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trading gamma from long side, 893-901
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summary, 907
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tau, 859-862
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American exercise, 501-504
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American Stock Exchange, 22
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Index,497,500
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structured products listed, 618
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Arbitrage, 251-252, 253-255, 422-455, 641-644
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block positioning, 455
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boxspreads,439-443,643-644
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risks, 443
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call arbitrage, 444
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carrying costs, 430-431
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conversions and reversals, 428-430, 431-438,
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642-643
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borrowing stock to sell short, 432-433
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risksin,fou½433-437
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summary, 437-438
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"using box stock," 432
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discounting, 423-425, 641-642
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dividend, 425-428
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effects, 444-445
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equivalence, variations on, 443-444
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facilitation (block positioning), 455
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"interest play" strategy, 438-439
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pairs trading, 454-455
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as hedged strategy, 454
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put arbitrage, 445
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put and call, basic (discounting), 423-425
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risk arbitrage, 21, 426-427
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definition, 445
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risk arbitrage using options, 445-454
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"hooks," 449-450
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limits on merger, 448-450
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mergers, 445-448
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profitability, 454
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short tendering, 453
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tender offers, 451-454 (see also Tender offers)
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synthetic put, 439-440
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Arbitrageurs, 19-21 (see also Arbitrage)
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definition, 422
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role of in butterfly spread, 338
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box spread, 338
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983 |