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Common market pricing on separate risk estimates
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Classroom Contents
Option Pricing Bottom Up and Top Down
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- 1 Intro
- 2 Option pricing bottom-up and top-down
- 3 The dassic bottom-up approach of derivative pricing
- 4 Time-changed Levy process as an assembly line
- 5 Drawbacks of the dassic bottom-up approach
- 6 A top-down perspective of option pricing
- 7 The top-down value representation
- 8 The top-down P&L attribution
- 9 Applying the no dynamic arbitrage condition
- 10 Common market pricing on separate risk estimates
- 11 A Ninear cross-sectional option pricing model
- 12 The average implied volatility surface variation (@)
- 13 Mean absolute pricing errors
- 14 Statistical arbitrage trading on the pricing errors
- 15 Market pricing estimates and risk portfolio returns
- 16 Concluding remarks
