Is Black-Scholes Sufficient To Manage LEAPS' Interest Rate Risks


CHICAGO--A growing number of financial institutions and retail investors are investing in Long-term Equity Anticipated Securities (LEAPS), which gives them a floor and a longer term exposure to equity markets than is currently available with regular options. While investors may be avoiding the downside risk of the stock market, investors are exposing themselves to a unique level of interest rate risk outside the realm of the traditional favorite, the Black-Scholes model unless they adjust their

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