Table 11 Abbreviation summary
From: Intelligent option portfolio model with perspective of shadow price and risk-free profit
Abbreviations | Full name |
|---|---|
CSRC | China Securities Regulatory Commission |
ATM | At-the-money |
OTM | Out-the-money |
IV | Implied volatility |
EL | Embedded leverage |
SpR | Sharpe ratio |
MDD | Maximum drawdown rate |