برچسب: Option Pricing
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Back To Basics – Historical Option Pricing Revisited
Back To Basics – Historical Option Pricing Revisited We reconsider the problem of option pricing using historical probability distributions. We first discuss how the risk-minimisation scheme proposed recently is an adequate starting point under the realistic assumption that price increments are uncorrelated (but not necessarily independent) and of arbitrary probability density. We discuss in particular […]
برچسب: Option Pricing
5 / 0
Rubinstein Mark – Rubinstein on Derivatives
Rubinstein Mark An introduction to modern derivatives pricing and hedging theory and practice. It includes discussion of binomial option pricing, futures and bonds, volatility, quantitative tahlil, exotic options, corporate securities, empirical tests, portfolio optimization and performance measurement.