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Multiple Currency Option Selection Using Stochastic Constraints
either moves up to S,,t+l -- S, tui with probability p, or moves down to Si,t+l = S, td~ with probability ... f~ (2) e ('-'~Dat -d l p, = (3) u~ - di where r: U. S. interest rate. r,1: Foreign interest ...- Authors: David C Thurston, Kelly T Au, Joel R Barber
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Strategy development
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Finance & Investments>Investment strategy - Finance & Investments
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A Note on Hedging and the Put Option
he has a concave utility function U(x) such that U'(x) • 0 and U"(x) '0 . Now the investor needs to ... hedging plan H(X), the investor's expected utility is E[U(X 6 H(X) -P)], With buying tile put option with ...- Authors: Xiaochuan Wang
- Date: Jan 1995
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Strategy development
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Finance & Investments>Investment strategy - Finance & Investments