Hybrid Approach, Implied Volatility
About the Lecture
The lecture Hybrid Approach, Implied Volatility by Edu Pristine is from the course Archiv - Valuation and Risk Models. It contains the following chapters:
- Hybrid Approach Steps
- Question
- Portfolio Volatility
- Implied Volatilities
- Discussion (VaR Methodology)
- Question (Historical Simulation)
Author of lecture Hybrid Approach, Implied Volatility
Edu Pristine
Customer reviews
5,0 of 5 stars
| 5 Stars |
|
5 |
| 4 Stars |
|
0 |
| 3 Stars |
|
0 |
| 2 Stars |
|
0 |
| 1 Star |
|
0 |
Excerpts from the accompanying material
... implied volatility, calculated from a European call option, should be the same as that calculated from a European put option, when both have the same strike price and maturity implied ...
... distributional assumption is least appropriate for a portfolio that contains many embedded derivatives (e.g., options) is computationally fast ...
... simulated price returns as below for sample of 500 days and is trading at 70. What is ...
... as below for sample of 400 days and is trading at 100. What is the VaR at 99%? ...
... For VaR-I (Confidential) 60: Expect at least one ...
