Derivative Securities
Pricing and hedging derivative securities in markets with uncertain volatilities
Submitted by loner 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
and
.... ...the "pricing" volatility is selected dynamically from the two extreme values
,
, according to the convexity of the value-function.....
- loner's blog
- Read more
- 753 reads
- Generate PDF file
What did I say then?
The real target of the war in Iraq was Saudi Arabia (8 years 24 weeks ago):
The crucial question regarding Iraq is not whether the motives for war were disguised, but why. T...
