The document contains simulated profit and loss (P/L) scenarios for options under various rate, spot, and dividend yield changes. It includes tables showing the impact of these changes on 36M and 18M options after certain periods have passed. The analysis assumes volatility slides down the curve and highlights the sensitivity of option prices to dividend yield changes compared to rate changes.
documents/vol00010-efta01365013-pdf.pdf
{"title":"US Derivatives Spotlight","document_date":"2013-12-03","document_type":"tabular","key_organizations":["Deutsche Bank"],"reference_numbers":["DB-SDNY-0055599","SDNY_GM_00201783","EFTA01365013"]}