• No results found

Option Pricing and Hedging for Discrete Time Regime Switching Models

N/A
N/A
Protected

Academic year: 2020

Share "Option Pricing and Hedging for Discrete Time Regime Switching Models"

Copied!
28
0
0

Loading.... (view fulltext now)

Full text

Loading

Figure

Figure 1. Log-returns of the S & P 500 Index (01/02/1985-12/31/2012).
Figure 2. Most probable regimes for the four-regime model fitted on the S & P 500 index from 01/02/1985 to 12/31/2012, together with the cumulative performance of the S & P 500 index
Figure 3. Fitted regime volatility (top figure) and regime expected return (bottom figure) from December 31th 1999 to January 31th 2012 for the four-regimes HMM model, both presented as annualized percentage
Table 3. 21 trading days to expiration at-the-money put prices on 01/19/2012 (for OH-HMM4 the most probable regime is highlighted in gray)
+6

References

Related documents

The description follows the 4 input approaches, thus the first item will refer to the classification by FLA, and represent the geographical location and relation with

Looking across both columns, there are 11 targets that are positively influenced by successful outcomes of CSF and by efforts to support or enhance factors and conditions

If the pipeline state already exists in the cache it is reused Application can save cache to disk for reuse on next run Using the Vulkan device UUID – can even stash in the

There are a variety of elderberry products sold by the interview respondents: plants - plants in pots, cuttings, seeds (dry berries); fruit - fresh elderberries by the

This implementation of Tripod’s [15] optimization network is described in the current research. Tripod is a “novel demand management system which incentivizes travelers in

 Sometimes   that's  developing  our  things

This questionnaire sought to garner the lecturer’s opinion on: the effectiveness of the debate as a way to explore the topic of ethics with students, whether the pre-

(2014) utilized an exploratory, descriptive, quantitative research study design to explore the effect of a nurse heart failure educational program on nurses' knowledge of