Coleman pages
نویسندگان
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.
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 ...
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