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- W1557611723 abstract "A model of building and using synthetic straddles has been developed; it enables an investor to significantly reduce its individual equity risk related to its own basic assets, i.e. shares. The Black-Scholes model, which is regarded as a classical model, cannot be used for this purpose for the reason that a synthetic straddle provides for investor's combining a share under review and a risk-free bond in its portfolio, whereas the Black-Scholes model contains a risk-free interest rate only, but no risk-free bond. Therefore, to build a synthetic straddle, a binomial model is used. Such model takes account of straddle price variance according to regression forecast model." @default.
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- W1557611723 date "2011-01-01" @default.
- W1557611723 modified "2023-09-24" @default.
- W1557611723 title "Application of Synthetic Straddles for Equity Risk Management" @default.
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