HomeAboutServicesPublicationsLinksContact Us
 
Publications
View by Date
View by Category
Complete Listing of Publications With Most Recent Article First
Strategy for the Grand National
November 12, 1996.

Introduction of the new National Annual PCS contract (October 7, 1996) makes for some interesting trading opportunities.

Consider the following trade:

Sell the 1997 National Annual 80/100 call spread at 9.0 points
Buy the 1997 Western Annual 80/100 call spread for 2.1 points
Buy the 1997 Eastern Third Quarter 80/100 for 2.5 points
    for a credit for the position of 4.4 points.

QUESTION:  Is a 22% RoL enough return for the non-western, non-hurricane quarter U.S. annual aggregate risk?

To read the full version of this article with graphs:

Image Download the PDF Here
 
Perfume of the Premium...
or Pricing Insurance Derivatives, recorded in the proceedings of the 1995 Bowles Symposium, Georgia State University, Atlanta, Georgia. (March 1995)

To read the full version of this article with graphs:

Image Download the PDF Here
 
<< Start < Prev 11 12 13 Next > End >>

Results 121 - 122 of 122