Derivative Prices with Uncertain Expected returns

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.
Publisher
Korean Securities Association
Issue Date
2007
Citation

2nd Proceeding of Korean Securities Association, 2007, pp.1~12(12)

URI
http://hdl.handle.net/10203/5413
Link
http://www.iksa.or.kr/
Link
http://www.iksa.or.kr/asp/thesis/down/학술발표회/2007_05_현정순.pdf
Appears in Collection
KGSF-Conference Papers(학술회의논문)
Files in This Item
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