Risk Management
Expected Shortfall
February 19, 2022
Derivatives
Synthetic Short Futures
February 19, 2022

An option trading strategy which replicates the short selling of the underlying and involves buying a put (long put) and simultaneously selling a call (short call) on the same underlying. This option combination potentially produces unlimited gains in case the underlying moves downward and unlimited losses in the opposite case, i.e., when the underlying moves upward.

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