Topic
Pin risk
About: Pin risk is a research topic. Over the lifetime, 3 publications have been published within this topic receiving 10 citations.
Papers
Book•
28 May 2010
TL;DR: In this article, the Black-Scholes-Merton (BSM) Equation is used to measure the implied volatility of an option contract and its relationship with its expiration date.
Abstract: Preface. Professional Trading. The Role of Mathematics. The Structure of this Book. Acknowledgments. Chapter 1 History. Summary. Chapter 2 Introduction to Options. Options. Specifications for an Option Contract. Uses of Options. Market Structure. Summary. Chapter 3 Arbitrage Bounds for Option Prices. American Options Compared to European Options. Absolute Maximum and Minimum Values. Summary. Chapter 4 Pricing Models. General Modeling Principles. Choice of Dependent Variables. The Binomial Model. The Black-Scholes-Merton (BSM) Model. Summary. Chapter 5 The Solution of the Black-Scholes-Merton (BSM) Equation. Delta. Gamma. Theta. Vega. Summary. Chapter 6 Option Strategies. Forecasting and Strategy Selection. The Strategies. Summary. Chapter 7 Volatility Estimation. Defining and Measuring Volatility. Forecasting Volatility. Volatility in Context. Summary. Chapter 8 Implied Volatility. The Implied Volatility Curve. Parameterizing and Measuring the Implied Volatility Curve. The Implied Volatility Curve as a Function of Expiration. Implied Volatility Dynamics. Summary. Chapter 9 General Principles of Trading and Hedging. Edge. Hedging. Trade Sizing and Leverage. Scalability and Breadth. Summary. Chapter 10 Market Making Techniques. Market Structure. Market Making. Trading Based on Order-Book Information. Summary. Chapter 11 Volatility Trading. Hedging. Hedging in Practice. The P/L Distribution of Hedged Option Positions. Summary. Chapter 12 Expiration Trading. Pinning. Pin Risk. Forward Risk. Exercising the Wrong Options. Irrelevance of the Greeks. Expiring at a Short Strike. Summary. Chapter 13 Risk Management. Example of Position Repair. Inventory. Delta. Gamma. Vega. Correlation. Rho. Stock Risk: Dividends and Buy-in Risk. The Early Exercise of Options. Summary. Conclusion. Appendix A Distributions. Example. Moments and the Shape of Distributions. Appendix B Correlation. Glossary. Index.
12 citations
31 May 2015
TL;DR: In this paper, the issue amount based on the same underlying is needed to be determined in consideration of both the average market trading volume and maximum leverage delta, where the leverage increases.
Abstract: As the policy proposals, first, in order to prevent the concentration of the KI prices, ELS issue amount based on the same underlying is needed to be determined in consideration of both the average market trading volume and maximum leverage delta. Second, in the realm of pin risk such as Knock-In or Knock-Out, where the leverage increases, it is recommended to mitigate the risk management delta limit based on the BS model which is made under the assumption of continuous hedging infinitesimally.
3 citations
TL;DR: In this paper, the authors describe the properties of trend options and show how the pin risk of these contracts is removed and how the payoff is linked to the trend of an underlying rather than to the underlying itself.
Abstract: Options whose payoff are linked to the trend of an underlying rather than to the underlying itself have many advantages, both for investors and hedgers. We describe the properties of trend options and show how the pin risk of these contracts is withdrawn.
Performance Metrics
| Year | Papers |
|---|---|
| 2015 | 1 |
| 2010 | 1 |
| 2005 | 1 |