Today Tyler Brown will be presenting "Buying Volatility", here is a brief description of the talk.
Establishing a long position in an equity (or any other asset class) is relatively straightforward; a more complicated strategy is balancing a portfolio's holdings to profit specifically from an asset or group of assets' volatility or lack thereof. How does a portfolio manager "buy volatility?" There are a number of different hedging strategies with different payoff potentials that take advantage of writing options, buying options, and/or holding the underlying asset. I discuss some of these strategies within the context of put-call parity.
Further related reading : http://www.cs.princeton.edu/courses/archive/fall09/cos323/papers/black_scholes73.pdf
Establishing a long position in an equity (or any other asset class) is relatively straightforward; a more complicated strategy is balancing a portfolio's holdings to profit specifically from an asset or group of assets' volatility or lack thereof. How does a portfolio manager "buy volatility?" There are a number of different hedging strategies with different payoff potentials that take advantage of writing options, buying options, and/or holding the underlying asset. I discuss some of these strategies within the context of put-call parity.
Further related reading : http://www.cs.princeton.edu/courses/archive/fall09/cos323/papers/black_scholes73.pdf
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