Question
Two blind bids have the same size, long/short,flat delta, and have similar characteristics. The stocks on average have the same volatilities. One has a standard
Two blind bids have the same size, long/short,flat delta, and have similar characteristics. The stocks on average have the same volatilities.
One has a standard deviation loss/gain of 30 bps, the other of 60 bps.
What could be the reason for this difference?
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Statistics The Exploration & Analysis Of Data
Authors: Roxy Peck, Jay L. Devore
7th Edition
0840058012, 978-0840058010
