Výsledky vyhledávání - "Derman-Kani formula"

Autor: Jelić, Magdalena

U ovom radu promatrali smo modele lokalne volatilnosti. Nakon početnog uvođenja potrebnih preliminarija, proučili smo Dupireovu formulu, Derman-Kani formulu te lokalnu volatilnost kao funkciju Black-Scholesove podrazumijevane volatilnosti i opisal

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=od______3908::4da6163ca9bb6fca79ddc9c3322b126f
https://repozitorij.pmf.unizg.hr/islandora/object/pmf:11178

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Akademický článek

The Fundamental Theorem of Derivative Trading - exposition, extensions and experiments.

Autor: Ellersgaard, Simon¹ (AUTHOR), Jönsson, Martin¹ (AUTHOR), Poulsen, Rolf¹ (AUTHOR) rolf@math.ku.dk

Publikováno v: Quantitative Finance. Apr2017, Vol. 17 Issue 4, p515-529. 15p.

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The Fundamental Theorem of Derivative Trading - exposition, extensions and experiments

Autor: Martin L. Jönsson, Simon Ellersgaard Nielsen, Rolf Poulsen

Publikováno v: Quantitative Finance. 17:515-529

When estimated volatilities are not in perfect agreement with reality, delta-hedged option portfolios will incur a non-zero profit-and-loss over time. However, there is a surprisingly simple formula for the resulting hedge error, which has been known

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::29feafe68efff635812c580103906ccf
https://doi.org/10.1080/14697688.2016.1222078

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