The Greek Letters. Scenario Analysis with a Reverse Butterfly Spread.

Rashid, Muhammad Mustafa (2020): The Greek Letters. Scenario Analysis with a Reverse Butterfly Spread.

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: Financial Institutions, Scenario Analysis, Risk Management, Portfolio Management, Reverse Butterfly Spread.
• Subjects: G - Financial Economics > G1 - General Financial Markets > G10 - General; G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions; G - Financial Economics > G1 - General Financial Markets > G17 - Financial Forecasting and Simulation; G - Financial Economics > G2 - Financial Institutions and Services; H - Public Economics > H2 - Taxation, Subsidies, and Revenue

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