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Equity-Based Insurance Guarantees Conference
Nov. 5-6, 2018 Chicago, IL
Being Honest About Option Pricing: What the Market Can Tell You and Why it Matters Jeff Greco
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Being Honest About Option Pricing:
What the Market Can Tell You and Why it Matters
JEFF GRECO, FRM
Senior Director ? Head of Strategy Research Portfolio Management Group Milliman Financial Risk Management LLC
November 5, 2018
Limitations & Disclosures
? DISCLAIMER: The materials in this document represent the opinion of the author and are not representative of the viewpoints of Milliman Financial Risk Management LLC.
? For investment professionals use only. Not for public use or distribution. ? Past performance is not indicative of future results. Recipients must make their own independent decisions
regarding any strategies or securities or financial instruments mentioned herein. ? Milliman Financial Risk Management LLC does not make any representations that products or services described
or referenced herein are suitable or appropriate for the recipient. Many of the products and services described or referenced herein involve significant risks, and the recipient should not make any decision or enter into any transaction unless the recipient has fully understood all such risks and has independently determined that such decisions or transactions are appropriate for the recipient. ? Any discussion of risks contained herein with respect to any product or service should not be considered to be a disclosure of all risks or a complete discussion of the risks involved. ? The recipient should not construe any of the material contained herein as investment, hedging, trading, legal, regulatory, tax, accounting or other advice. The recipient should not act on any information in this document without consulting its investment, hedging, trading, legal, regulatory, tax, accounting and other advisors. ? Milliman Financial Risk Management LLC does not ensure a profit or guarantee against loss.
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Outline
1. Market Prices and Option Models 2. Problem Setup 3. Model Calibration 4. Model Application
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Market Prices and Option Models
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