학회소식
[2007년 제 2차] Derivative Prices with Uncertain Expected returns
작성자 : 관리자
조회수 : 817
게시일 :
2007-05-30
The optimal conditions of mean reversion speed for log-return of a stock is derived and approximate solutions are obtained. A value of a derivative under the initial measure is compared with the value under minimum variance measure. Moreover, the results provide an efficient way to simulate an underlying asset so that more accurate sensitivity analysis can be performed.
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