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Article Archive For Joanne Hill, Ph.D. and Matthew Celebuski

  • Price path: a new volatility measure by Joanne Hill, Ph.D. and Matthew Celebuski

    ARTICLE SYNOPSIS ...Price path: a new volatility measure by Joanne Hill, Ph.D. and Matthew Celebuski Many trading strategies rely on market levels or changes in those levels for allocation among asset classes. In an option replication program, such as portfolio insurance, the option cost is paid throughout the life of the program. Frequently, the estimated costs differ significantly from the actual cost even when anticipated volatility estimates are realized. An important reason for this discrepancy is that the order of the returns impacts the cost of an option replication program but has no impact on the price...






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