IDEAS home Printed from https://ideas.repec.org/p/pra/mprapa/101723.html
   My bibliography  Save this paper

The Greek Letters. Scenario Analysis with a Reverse Butterfly Spread

Author

Listed:
  • Rashid, Muhammad Mustafa

Abstract

The management of risk is the goal of a financial institution that sells an option to a client in the over-the-counter markets. In addition to monitoring risks such as Delta(Δ), Gamma (γ) and Vega(v), option traders often also carry out, a scenario analysis. The analysis involves calculating the gain or loss on their portfolio over a specified period under a variety of different scenarios. The time period chosen is likely to depend on the liquidity of the instrument. The scenarios can either be chose by management or generated by a model.

Suggested Citation

  • Rashid, Muhammad Mustafa, 2020. "The Greek Letters. Scenario Analysis with a Reverse Butterfly Spread," MPRA Paper 101723, University Library of Munich, Germany, revised 19 May 2020.
    • Handle: RePEc:pra:mprapa:101723
    as

    Download full text from publisher

    File URL: https://mpra.ub.uni-muenchen.de/101723/1/MPRA_paper_101723.pdf
    File Function: original version
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Financial Institutions; Scenario Analysis; Risk Management; Portfolio Management; Reverse Butterfly Spread.;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G2 - Financial Economics - - Financial Institutions and Services
    • H2 - Public Economics - - Taxation, Subsidies, and Revenue

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:101723. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.