<t>In Jeremy Evnine and Andrew Rudd's article, "Option portfolio risk analysis" in the Journal of Portfolio Management (Winter 1984), they introduce a multifactor model for options. The general form of the factor model is r_c-r_f=intercept+eta.(r_s-r_f)+psi.(r_s-r_f)^2+nu.DELVAR+zeta.DELR+CONS+chi.D...

There is a mistake in Apollon's CallBeta formula. It should read CallBeta=ShareBeta.(dC/dS).(S/C).(RHOcall/RHOshare).

<r>I had the same question. Thank you Steve for asking the question and thank you Jim for answering. But still I am left with some questions, perhaps they are stupid. I am using QuantMod in R to extract the constant maturity yields from FRED (<URL url="http://research.stlouisfed.org/fred2/categories...