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Tài liệu The Blackwell Encyclopedic Dictionary of Finance pptx

Tài liệu The Blackwell Encyclopedic Dictionary of Finance pptx

... or otherwise, without the prior permission of the publisher. Except in the United States of America, this book is sold subject to the condition that it shall not, by way of trade or otherwise, ... numerically. The optimal value of the asset volatility is an increasing function of the bank leverage and a decreasing function of the knock-out value K. This result means that the greater the bank's ... forecasting volatility for the period to maturity of the option. The third assumption is that there are no transaction costs, so that the proportions of the asset and option in the hedged portfolio...

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