Market volatility at the crash was much greater than ever encountered before. Put option deltas based on
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Market volatility at the crash was much greater than ever encountered before.
Put option deltas based on historical volatility estimates were too low; insurers underhedged, held too much equity, and suffered excessive losses. p-69
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ISE Investments
ISBN: 9781266085963
13th International Edition
Authors: Zvi Bodie, Alex Kane, Alan Marcus
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