Flirting with Models

The Research Library of Newfound Research

Tag: options (Page 2 of 2)

The Cost of Insurance

Whipsaw in a tactical strategy can be likened to an insurance premium, which can be calculated by comparing to a similarly aimed option strategy.

Bond Valuations and the Price of Portfolio Insurance

Bonds are often used as portfolio insurance. In this post, we compare the cost of bonds and a similar insurance strategy in put options.

Using Randomness to Price the Value-Add of Risk Management Strategies

Randomness, through statistical simulations, can shed light on the fees charged for tactical strategies by comparison to an analogous options strategy.

Pricing for Model Risk

Even a well-constructed model is open to model risk. By including estimates of errors in a model, we can aim to reduce the probability of model failure.

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