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Trading Options And Their Underlying Asset: Risk Management In Discrete Time

In: Derivatives, Risk Management & Value

Author

Listed:
  • Mondher Bellalah

    (Université de Cergy-Pontoise, France)

Abstract

The following sections are included:Chapter OutlineIntroductionBasic Strategies and Synthetic PositionsOptions and synthetic positionsLong or short the underlying assetLong a callShort callLong a putShort a putCombined StrategiesLong a straddleShort a straddleLong a strangleShort a strangleLong a tunnelShort a tunnelLong a call bull spreadLong a put bull spreadLong a call bear spreadSelling a put bear spreadLong a butterflyShort a butterflyLong a condorShort a condorHow Traders Use Option Pricing Models: Parameter EstimationEstimation of model parametersHistorical volatilityImplied volatilities and option pricing modelsTrading and Greek lettersSummaryCase StudiesExercisesReferences

Suggested Citation

  • Mondher Bellalah, 2009. "Trading Options And Their Underlying Asset: Risk Management In Discrete Time," World Scientific Book Chapters, in: Derivatives, Risk Management & Value, chapter 3, pages 141-217, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812838636_0003
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