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SPX ATMS
Organization
2
Total Mentions
2
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2
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Organization referenced in documents
Document Mentions (2)
EFTA01364943.pdf
1 mentionEFTA01364943
ive pricing on long-dated call options in many years. As an example of how marked this difference can be, if we compare prices of 6O-month maturity SPX ATMS calls on 30-Jun-03 and 11-Oct-13. two periods with the same implied volatilities but very different forwards, the difference in premium is -4.5% (1
EFTA01365005.pdf
1 mentionEFTA01365005
ive pricing on long-dated call options in many years. As an example of how marked this difference can be, if we compare prices of 6O-month maturity SPX ATMS calls on 30-Jun-03 and 11-Oct-13. two periods with the same implied volatilities but very different forwards, the difference in premium is -4.5% (1
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