Home » Pricing and hedging derivative securities in markets with uncertain volatilities

Reply to comment

Pricing and hedging derivative securities in markets with uncertain volatilities

Submitted by cahn on 19 June, 2007 - 5:30pm

...a model for pricing and hedging derivative securities and option portfolios in an environment where the volatility is not known precisely, but is assumed instead to lie between two extreme values $ \sigma_{min} $ and $ \sigma_{max} $.... ...the "pricing" volatility is selected dynamically from the two extreme values $ \sigma_{min} $, $ \sigma_{max} $, according to the convexity of the value-function.....

Managing the Volatility Risk of Portfolios of Derivative Securities: The Lagrangian Uncertain Volatility Model

AttachmentSize
Pricing and Hedging Derivative Securities in Markets with Uncertain Volatilities.pdf217.25 KB
Managing the Volatility Risk of Portfolios of Derivative Securities_The Lagrangian Uncertain Volatility Model.pdf480.45 KB
»

Reply

CAPTCHA
This question is for testing whether you are a human visitor and to prevent automated spam submissions.

What did I say then?

Poor Sysadmin's Guide to Remote Linux Admin

Submitted by cahn on 27 October, 2002 - 1:13pm

For those thinking about running a dedicated Linux host, this article is something to read. The author talks about how to admin a Linux server remotely in the most inexpensive (free!) way. Several Daemons Monitoring Daemon (DMD) are mentioned including daemontools, mon and monit, the author's favourite.
more

»