• 검색 결과가 없습니다.

미분민감성을 이용한 위험관리의 수리적 이론

N/A
N/A
Protected

Academic year: 2021

Share "미분민감성을 이용한 위험관리의 수리적 이론"

Copied!
20
0
0

로드 중.... (전체 텍스트 보기)

전체 글

(1)
(2)
(3)
(4)
(5)
(6)
(7)
(8)
(9)
(10)
(11)
(12)
(13)
(14)
(15)
(16)
(17)
(18)
(19)
(20)

,

Abstrac

The Mathematical Theory

of

Risk-Management

Using the 'Greeks".

Seung-pi1 Kang

Bong-soo KO

This paper discusses practical uses of the Black-Scholes formula or, more generally, the Black-Scholes Partial Differential Equation, as a tool for hedging an options portfolio. In those process, there are several parameter Delta, which is the derivative of the option d u e with respect to change in the price

S

of the underlying asset, Gamma, which is the derivative of the Delta with respect t o S, Theta, which is the derivative of the option value with respect to the time, Vega, which is the derivative of the option value with respect t o the volatility, and Rho, which is the derivative with respect to the short-term interest rate.

참조

관련 문서

There is well-rounded education based on the personality in the pursuit of the alternative school; for example, the study of ‘mind’ represents in the Won-buddhism, which

There are various legal grounds about finance bills and the budgetary system. For example, there are some nations of which the authority of the legislature is simply

웹 표준을 지원하는 플랫폼에서 큰 수정없이 실행 가능함 패키징을 통해 다양한 기기를 위한 앱을 작성할 수 있음 네이티브 앱과

The index is calculated with the latest 5-year auction data of 400 selected Classic, Modern, and Contemporary Chinese painting artists from major auction houses..

Average of the indexed values of the following data: (1) Total value of the indexed score for disability-adjusted life years (the number of years lost due to illness,

(1.1 points) Which of the following is the best example of the great damage in (a) The damage they do is particularly great when they are relied upon as guide in the process

The “Asset Allocation” portfolio assumes the following weights: 25% in the S&P 500, 10% in the Russell 2000, 15% in the MSCI EAFE, 5% in the MSCI EME, 25% in the

1 John Owen, Justification by Faith Alone, in The Works of John Owen, ed. John Bolt, trans. Scott Clark, "Do This and Live: Christ's Active Obedience as the