Dynamic Limit Pricer

Equity Vol (%)

Index Vol (%)

Multiple

Inflection (I)

Short Curvature (Cs)

Long Curvature (Cl)

Steps (N)

Max Limit (%)

Multiple:

Static Limit:

Dynamic Limit:


    L(x) = Lmax · [ (π/2 + atan((x/I)^(-Cs) - (x/I)^Cl)) / (π/2 + atan((1/I)^(-Cs) - (1/I)^Cl)) ]

Dynamically Adjusting Risk Limits to a Reference Index