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 th

To continue reading...

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: