pnl Options

You may as well analyse the skewness and kurtosis in the period PnL by getting 3rd and 4th moments of $Y_t$ respectively. Presumably you can conclude that for 2 series with equivalent expectation and variance, you may prefer the 1 with optimistic skew or reduced kurtosis, but possibly not dependant upon the self-assurance of the market check out, e

read more