Pricing and hedging basket options with exact moment matching
A Leccadito, T Paletta, R Tunaru - Insurance: Mathematics and Economics, 2016 - Elsevier
Theoretical models applied to option pricing should take into account the empirical
characteristics of financial time series. In this paper, we show how to price basket options …
characteristics of financial time series. In this paper, we show how to price basket options …
On optimal smoothing of density estimators obtained from orthogonal polynomial expansion methods
K Marumo, R Wolff - Journal of Risk, 2016 - papers.ssrn.com
We discuss the application of orthogonal polynomials to the estimation of probability density
functions, particularly with regard to accessing features of a portfolio's profit/loss distribution …
functions, particularly with regard to accessing features of a portfolio's profit/loss distribution …
[PDF][PDF] A Statistical Investigation of Hedging Risk: Comparing the Risk and Return of Securities, Funds, and Traditional Investments by Analyzing Annual Returns
S Del Barco - 2017 - researchgate.net
The purpose of this study was to investigate different methods with their respective risk and
the overall annual yield of the investment. This was done by comparing different investment …
the overall annual yield of the investment. This was done by comparing different investment …
Estudo empírico para cálculo do value at risk e expected shortfall aplicado ao mercado brasileiro
PF Perroud - 2019 - bibliotecadigital.fgv.br
O objetivo desse trabalho foi analisar e comparar a aplicação de cinco modelos para
cálculo do Value at Risk e Expected Shortfall sobre ativos brasileiros, e a partir de um …
cálculo do Value at Risk e Expected Shortfall sobre ativos brasileiros, e a partir de um …