苹果到橘子:通过坐标的随机变化调和不一致估值模型中的“维加斯”

Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on Computational Intelligence for Financial Engineering (CIFEr) (Cat. No.00TH8520) Pub Date : 2000-03-26 DOI:10.1109/CIFER.2000.844612

A. Kuruc

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引用次数: 0

摘要

我们对“织女星”的新概念进行了基础研究，与通常的概念不同，这些概念可以在不同的估值模型中合理地加在一起。首先，我们用简单的股票价格模型来描述基本思想。接下来，我们将概述这些思想在利率衍生品中的应用。

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Apples to oranges: reconciling "vegas" from inconsistent valuation models by a stochastic change of coordinates

We present fundamental research on new notions of "vega" that, unlike the usual ones, can sensibly be added together across different valuation models. First, we describe the basic ideas using simple models of equity prices. Next, we outline the application of these ideas to interest-rate derivatives.

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Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on Computational Intelligence for Financial Engineering (CIFEr) (Cat. No.00TH8520)

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