منابع مشابه
OME WORKING PAPER SERIES Margining Option Portfolios by Network Flows
As shown in [Rudd and Schroeder, 1982], the problem of margining option portfolios where option spreads with two legs are used for offsetting can be solved in polynomial time by network flow algorithms. However, spreads with only two legs do not provide sufficient accuracy in measuring risk. Therefore, margining practice also employs spreads with three and four legs. A polynomial time solution ...
متن کاملDiscussion Paper No B Binomial Models for Option Valuation Examining and Improving Convergence
Binomial models which rebuild the continuous setup in the limit serve for approximative valuation of options especially where formulas cannot be derived mathematically Even with the valua tion of Europeancall options distorting irregularities occur For this case sources of convergencepatterns are explained Furthermore it is proved order of convergence one for the Cox Ross Rubinstein model as we...
متن کاملSchool of Business Working Paper 2-08 Physician-assisted Suicide as a Real Option
In this paper we propose a theoretical model of evaluating the economic costs and benefits of euthanasia. The contemplation of euthanasia is modeled akin to the valuation of a real option. Our modeling of the decision shows that euthanasia is optimal when certain conditions are satisfied. The findings in this paper suggest that if more money is spent on medical research (such as pain management...
متن کاملRequisition for Change of option of the Concurrent Discipline Centered Paper
Name: ....................................................................................................................................... Class: ......................................................................................................................................... Name of the paper initially opted for: ..........................................................................
متن کاملOME WORKING PAPER SERIES Combinatorics of Option Spreads: The Margining Aspect
In December 2005, the U.S. Securities and Exchange Commission approved margin rules for complex option spreads with 5, 6, 7, 8, 9, 10 and 12 legs. Only option spreads with 2, 3 or 4 legs were recognized before. Taking advantage of option spreads with a large number of legs substantially reduces margin requirements and, at the same time, adequately estimates risk for margin accounts with positio...
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ژورنال
عنوان ژورنال: Nature Photonics
سال: 2012
ISSN: 1749-4885,1749-4893
DOI: 10.1038/nphoton.2011.351