http://chineseinput.net/에서 pinyin(병음)방식으로 중국어를 변환할 수 있습니다.
변환된 중국어를 복사하여 사용하시면 됩니다.
- 中文 을 입력하시려면 zhongwen을 입력하시고 space를누르시면됩니다.
- 北京 을 입력하시려면 beijing을 입력하시고 space를 누르시면 됩니다.
RISS 인기검색어
- 검색키워드
- 저자 : David Heath (검색결과 3 건)
- 무료
- 기관 내 무료
- 유료
-
Valuation and hedging of options with general payoff undertransactions costs
최형인,David Heath,구혜진 대한수학회 2004 대한수학회지 Vol.41 No.3
We present the pricing and hedging method for options with general payoffs in the presence of transaction costs. The convexity of the payoff function - gamma of the options - is an important issue under transaction costs. When the payoff function is convex, Leland-style pricing and hedging method still works. However, if the payoff function is of general form, additional assumptions on the size of transaction costs or of the hedging interval are needed. We do not assume that the payoff is convex as in Leland [11] and the value of the Leland number is less (bigger) than 1 as in Hoggard et al. [10], Avellaneda and Par´as [1]. We focus on generally recognized asymmetry between the option sellers and buyers. We decompose an option with general payoff into difference of two options each of which has a convex payoff. This method is consistent with a scheme of separating out the seller’s and buyer’s position of an option. In this paper, we first present a simple linear valuation method of general payoff options, and also propose in the last section more efficient hedging scheme which costs less to hedge options.
-
VALUATION AND HEDGING OF OPTIONS WITH GENERAL PAYOFF UNDER TRANSACTIONS COSTS
Choi, Hyeong-In,Heath, David,Ku, Hye-Jin Korean Mathematical Society 2004 대한수학회지 Vol.41 No.3
We present the pricing and hedging method for options with general payoffs in the presence of transaction costs. The convexity of the payoff function-gamma of the options- is an important issue under transaction costs. When the payoff function is convex, Leland-style pricing and hedging method still works. However, if the payoff function is of general form, additional assumptions on the size of transaction costs or of the hedging interval are needed. We do not assume that the payoff is convex as in Leland 〔11〕 and the value of the Leland number is less (bigger) than 1 as in Hoggard et al. 〔10〕, Avellaneda and Paras 〔1〕. We focus on generally recognized asymmetry between the option sellers and buyers. We decompose an option with general payoff into difference of two options each of which has a convex payoff. This method is consistent with a scheme of separating out the seller's and buyer's position of an option. In this paper, we first present a simple linear valuation method of general payoff options, and also propose in the last section more efficient hedging scheme which costs less to hedge options.
-
Open Cirrus: A Global Cloud Computing Testbed
Avetisyan, Arutyun I,Campbell, Roy,Gupta, Indranil,Heath, Michael T,Ko, Steven Y,Ganger, Gregory R,Kozuch, Michael A,O'Hallaron, David,Kunze, Marcel,Kwan, Thomas T,Lai, Kevin,Lyons, Martha,Milojicic, IEEE 2010 Computer Vol.43 No.4
<P>Open Cirrus is a cloud computing testbed that, unlike existing alternatives, federates distributed data centers. It aims to spur innovation in systems and applications research and catalyze development of an open source service stack for the cloud.</P>
연관 검색어 추천
이 검색어로 많이 본 자료
활용도 높은 자료
