Dilip B. Madan
University of Maryland
Dilip Madan is Professor of Mathematical Finance at the Robert H. Smith School of Business. He has served as a consultant to Morgan Stanley for over 20 years, is a founding member and Past President of the Bachelier Finance Society, and is the recipient of numerous awards including the 2006 Humboldt award in Applied Mathematics.
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The aim of this paper is to validate profit and loss attribution generated by daily movements of option prices as seen through their Black–Scholes (Black and Scholes 1973) and Merton (1973) implied volatilities.
This paper considers the problem of enhancing an investment activity by regularly adding an option trade to the portfolio mix and presented results for the single underlier of the S&P 500 index, with the underlying activity being either long the index or…
The dual problem of pricing to acceptability is formulated as a disciplined convex program solvable by the software CVXOPT.