Mostrar el registro sencillo del ítem

dc.contributor.authorShchestyuk, Nataliya
dc.date.accessioned2020-03-04T14:09:50Z
dc.date.available2020-03-04T14:09:50Z
dc.date.created2020
dc.date.issued2020-03-04
dc.identifier.urihttps://hdl.handle.net/10630/19353
dc.description.abstractIn this paper will be demonstrated that the link between optimal option value, risk measuring and risk managing is especially close, and it is given by stochastic optimization. Post the financial crisis of 2008 it has been clear that risk considerations must enter into the valuation of derivatives, previously performed in an entirely "risk neutral world". The average value-at-risk is related to the problem of investor, which we use for option pricing. Let Y = (S-K)+ is payoff for call option, where strike price K and premium C is known to investor and distribution of underlying risky assets S is modeled. Suppose that an investor has to decide about the amount X of invest before the actual available income is given to him by random variableen_US
dc.language.isoengen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectOptimización matemáticaen_US
dc.subjectPreciosen_US
dc.subject.otherStochastic optimizationen_US
dc.subject.otherOption Pricingen_US
dc.subject.otherFAT Modelsen_US
dc.titleOption pricing and stochastic optimizationen_US
dc.typeinfo:eu-repo/semantics/conferenceObjecten_US
dc.centroEscuela de Ingenierías Industrialesen_US
dc.relation.eventtitleConferencia dentro del Departamento de Matemática aplicada. Otimizaciónen_US
dc.relation.eventplaceMálagaen_US
dc.relation.eventdate07/05/2020en_US


Ficheros en el ítem

Este ítem aparece en la(s) siguiente(s) colección(ones)

Mostrar el registro sencillo del ítem