Geometric Dispersion Basket at Thomas Schmalz blog

Geometric Dispersion Basket. Dispersion trading is a tool for leveraging the discrepancy between the implied volatility of index options and the implied volatility of individual participating stock options. The payoff is not totally straightforward. Our purpose here is to compare the fair correlation priced in a correlation swap and the implied correlation of a dispersion trade. Dispersion is a measure of spread and calculates the absolute differences of individual components against the basket performance. The dispersion trading uses the known fact that the difference between implied and realized volatility is greater between index options than between individual stock options. Spot dispersion or palladium products have proven successful this year. In equity derivatives, they are structured as follows: Or, for example, interest rate sensitive strategies can be positioned for moves in interest rates, regardless of the direction. The investor, therefore, could sell options on index and buy individual stocks options.

In equity derivatives, they are structured as follows: The dispersion trading uses the known fact that the difference between implied and realized volatility is greater between index options than between individual stock options. Dispersion trading is a tool for leveraging the discrepancy between the implied volatility of index options and the implied volatility of individual participating stock options. Or, for example, interest rate sensitive strategies can be positioned for moves in interest rates, regardless of the direction. Spot dispersion or palladium products have proven successful this year. The investor, therefore, could sell options on index and buy individual stocks options. The payoff is not totally straightforward. Our purpose here is to compare the fair correlation priced in a correlation swap and the implied correlation of a dispersion trade. Dispersion is a measure of spread and calculates the absolute differences of individual components against the basket performance.

SOLVED 7. Suppose that X follows a geometric distribution; P(X = k

Geometric Dispersion Basket Or, for example, interest rate sensitive strategies can be positioned for moves in interest rates, regardless of the direction. Dispersion trading is a tool for leveraging the discrepancy between the implied volatility of index options and the implied volatility of individual participating stock options. In equity derivatives, they are structured as follows: Or, for example, interest rate sensitive strategies can be positioned for moves in interest rates, regardless of the direction. Spot dispersion or palladium products have proven successful this year. The dispersion trading uses the known fact that the difference between implied and realized volatility is greater between index options than between individual stock options. Dispersion is a measure of spread and calculates the absolute differences of individual components against the basket performance. The payoff is not totally straightforward. The investor, therefore, could sell options on index and buy individual stocks options. Our purpose here is to compare the fair correlation priced in a correlation swap and the implied correlation of a dispersion trade.