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Bucio-Pacheco, Christian; López Herrera, Francisco; … - In: International journal of bonds and derivatives 4 (2018) 1, pp. 74-87

Persistent link: https://www.econbiz.de/10012253407

Schätzung erwarteter Aktienrenditen auf Basis von Fremdkapitalmärkten

Berg, Tobias; Willershausen, Timo - In: Kredit und Kapital 38 (2005) 3, pp. 435-465

Persistent link: https://www.econbiz.de/10003162848

Common factors governing VDAX movements and the maximum loss

Härdle, Wolfgang; Schmidt, Peter - 2000

tool for options portfolios using the "Maximum Loss" methodology based on Principal Components. -- Implied Volatility ; DAX …

Persistent link: https://www.econbiz.de/10009612026

Estimation of risk neutral measure for Polish stock market

Kliber, Paweł - In: E-Finanse : finansowy kwartalnik internetowy 10 (2014) 2, pp. 28-37

In the paper we present the application of risk neutral measure estimation in the analysis of the index WIG20 from Polish stock market. The risk neutral measure is calculated from the process of the options on that index. We assume that risk neutral measure is the mixture of lognormal...

Persistent link: https://www.econbiz.de/10010468362