Coleman pages

نویسندگان

  • Thomas F. Coleman
  • Yohan Kim
  • Yuying Li
  • Arun Verma
چکیده

Estimation of a consistent volatility model of the underlying is crucial for option hedging. The authors illustrate that, compared to the implied/constant volatility method, a local volatility function method can estimate the underlying volatility from option prices more consistently. The result is more accurate hedge parameters and smaller hedging errors. The evidence provided includes an example where the underlying follows an absolute diffusion process, data from both the S&P 500 Index option market, and the S&P 500 futures option market.

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Psychology strikes out: Coleman R. Griffith and the Chicago Cubs.

Coleman R. Griffith is widely known as the father of sport psychology in the United States. He directed the Research in Athletics Laboratory at the University of Illinois in the late 1920s and early 1930s and produced many articles and books on the psychology of sport. In 1938, P. K. Wrigley, owner of the Chicago Cubs, hired him to help improve the team's performance. Griffith and an assistant ...

متن کامل

Parental Education and Investment in Children’s Human Capital in Rural China

The landmark study of race and education in the United States known as the "Coleman Report" (Coleman et al. 1966) concluded that family characteristics are more important determinants of educational achievement than school quality or teacher experience, particularly in the early stages of schooling. From this result sprang two prominent lines of academic inquiry. The first focuses on so-called ...

متن کامل

Down Syndrome Research and Practice Volume 2 Number 3 Pages 112-115

Yet, although it is very difficult to detect just by physical examination, it is most important that the clinician pick up developing thyroid disease in children and adults with Down’s syndrome. Hypothyroidism can affect a child with Down’s syndrome at any age as was shown in a study where none of the cases had yet presented with clinical signs; the hypothyroidism already present in the childre...

متن کامل

Chapter 3 . 24 XWRAPComposer : A Multi - Page Data Extraction Service

We present a service-oriented architecture and a set of techniques for developing wrapper code generators, including the methodology of designing an effective wrapper program construction facility and a concrete implementation, called XWRAPComposer. Our wrapper generation framework has two unique design goals. First, we explicitly separate tasks of building wrappers that are specific to a Web s...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

عنوان ژورنال:

دوره   شماره 

صفحات  -

تاریخ انتشار 2001