Question
Inability to hedge against changes in this quantity motivated a model created by Brenner and Galai. This quantity names a “tax” that Mark Spitznagel describes as crushing long-term CAGRs. Up-factors and down-factors in a binomial pricing model are determined by time and this quantity. This quantity is plotted versus “moneyness” and “time to maturity” to form its namesake surface. Some “Bastard Greeks” reflect changes in this quantity, a measure of which is multiplied by Gamma and the price squared in the (*) Black–Scholes equation. Plotting the “implied” form of this quantity against strike price can produce this quantity’s namesake “smile.” The “historical” form of this quantity equals the standard deviation of the logarithmic returns of a financial instrument. For 10 points, name this quantity that measures the variation in the price of a financial instrument over time. ■END■
Buzzes
Summary
Tournament | Edition | Exact Match? | TUH | Conv. % | Power % | Neg % | Average Buzz |
---|---|---|---|---|---|---|---|
2024 Chicago Open | 07/28/2024 | Y | 12 | 92% | 33% | 0% | 83.09 |