Option Profit and Loss Attribution and Pricing: A New Framework

Keyphrases

• Arbitrage 50%
• Covariance 50%
• Implied Volatility 100%
• Investment Risk 50%
• Merton 50%
• Movement Direction 50%
• Option Pricing Formula 50%
• Option-implied Volatility 50%
• Risk-neutral 50%
• Security Prices 50%
• Security Returns 50%
• Short-Term Options 50%
• Taking Risks 50%
• Valuation Framework 50%
• Volatility Level 100%

Economics, Econometrics and Finance

• Arbitrage 25%
• Investment Risk 25%
• Pricing 50%
• Volatility 100%