A path-dependent option that is a theoretical (as yet) extension of a lookback option. The option's payoff is based on...
A path-dependent option that is a theoretical (as yet) extension of a lookback option. The option's payoff is based on...
A risk measure for options which is computed by relating an option's theta to its gamma: Alpha = decay/gamma This second-order greek expresses the quality of gamma...
A method of transporting the active return (alpha) among asset classes by separating and transporting uncorrelated incremental returns from one...
This second-order greek expresses the quality of gamma in terms of the time decay (rent). Therefore, it indicates the quality of the earnings from...
The construction of a portfolio using active returns (alpha) as the primary driver of the construction process, instead of asset class betas. More specifically, this...