Span margining of options trading - how accuracy promotes efficiency
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Transcript of Span margining of options trading - how accuracy promotes efficiency
©All rights reserved to prof. Rafi Eldor
MFA 2008
SPAN Margining of Option Trading:
How Accuracy Promotes Efficiency
©All rights reserved to prof. Rafi Eldor
MFA 2008
SPAN Margining of Option Trading:
How Accuracy Promotes Efficiency
BY:
Rafael Eldor
Shmuel Hauser
Uzi Yaari
©All rights reserved to prof. Rafi Eldor
MFA 2008
Background
• Margin requirements
• Evolution
©All rights reserved to prof. Rafi Eldor
MFA 2008
Related literature
• Kupiec (1993, 1994,1996,1998)
• Day and Lewis (1997)
• Dutt and Wien (2002)
©All rights reserved to prof. Rafi Eldor
MFA 2008
©All rights reserved to prof. Rafi Eldor
MFA 2008
©All rights reserved to prof. Rafi Eldor
MFA 2008
©All rights reserved to prof. Rafi Eldor
MFA 2008
©All rights reserved to prof. Rafi Eldor
MFA 2008
©All rights reserved to prof. Rafi Eldor
MFA 2008
©All rights reserved to prof. Rafi Eldor
MFA 2008