Advertisement

The Credit Risk of Compound Option Strategies

  • Erik Banks
Part of the Finance and Capital Markets series book series (FCMS)

Abstract

An institution active in listed or over-the-counter options for investment or risk management purposes often utilizes more than simple put or call positions to implement a given strategy; depending on the results it is attempting to achieve, it may use options in combinations which yield specific payoff or protection profiles not attainable through simple positions. In the previous chapter we have discussed the credit risk of standard put and call transactions. In this chapter we expand the discussion by exploring the credit risk of compound option strategies.

Keywords

Credit Risk Strike Price Downside Risk Short Position Time Spread 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

Copyright information

© Erik Banks 1997

Authors and Affiliations

  • Erik Banks

There are no affiliations available

Personalised recommendations