Abstract:ABSTRACTThis paper draws analogies between techniques used to reserve for, control and manage derivatives and techniques used by actuaries in other fields. It concentrates on equity derivatives. It also includes a review of the factors which significantly influence the appropriate size of reserves to hold for a derivatives portfolio. These include the likelihood of market jumps, uncertainty in future market volatility and the size of transaction costs, as well as on more obvious factors like position risk.
scite is a Brooklyn-based startup that helps researchers better discover and evaluate scientific articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by researchers from dozens of countries and is funded in part by the National Science Foundation and the National Institute of Drug Abuse of the National Institutes of Health.