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Goldman Sachs Quantitative Strategies Research Notes May 1994 Static Options Replication INTERNAL DISTRIBUTION Emanuel Derman Deniz Ergener Iraj Kani Goldman Sachs QUANTITATIVE…

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1.LECTURE FIVE a. Hedging Linear Risk b. Optimal hedging in linear risk 12. Part 1HEDGING LINEAR RISK a. Overview b. Basis Risk2 3. 1. Overview• Risk that has been measured…

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University of Lausanne HEC - Master of Science in Banking and Finance Pricing and Hedging Exotic Options with Monte Carlo Simulations∗ Authors Augusto Perilla & Diana…

Documents Computational Finance Lecture 7 The “Greeks”. Agenda Sensitivity Analysis Delta and Delta...

Slide 1 Computational Finance Lecture 7 The “Greeks” Slide 2 Agenda Sensitivity Analysis Delta and Delta hedging Other Greeks Slide 3 One Example A financial institution…