Olivier Daviaud

J.P. Morgan Securities plc

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1.

Linking the Performance of Vanilla Options to the Volatility Premium

Risk, July 2022

Number of pages: 17 Posted: 13 Sep 2021 Last Revised: 05 Jul 2023

Olivier Daviaud and Abhishek Mukhopadhyay

J.P. Morgan Securities plc and SGCIB

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2.

Rethinking P&L attribution for options

Number of pages: 42 Posted: 07 Jul 2023 Last Revised: 28 Mar 2024

Olivier Daviaud

J.P. Morgan Securities plc

Downloads 1,325 (37,741)

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Olivier Daviaud

J.P. Morgan Securities plc

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3,148

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Scholarly Papers (2)

Linking the Performance of Vanilla Options to the Volatility Premium

Abstract:

Rethinking P&L attribution for options

Abstract: