A Model for Equity Volatility, Returns, Option Prices & Short Rates - An Application to Quaterly Rolling Funds
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Document ID: 1999-682 (previously Report 45)
Published on: 30th June 1999
Investment funds with built-in protection created using options have faced some awkward problems over the past two years. Rising implied volatilities and falling short-term interest rates have made fund “participation rates” extremely volatile. We have extended our modelling framework to help portfolio managers understand how the expected return & participation profiles of these funds might vary over time.
