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Options multi-sous jacents et correlation

Name: Options multi-sous jacents et correlation
Brand: Omniscriptum
SKU: 06987564
Price: 35.29 EUR
Availability: InStock
Author: Olivier Korber
ISBN: 9786131568176

Olivier Korber

Language

French

Book Paperback

Libristo code: 06987564

Publishers Omniscriptum, February 2018

Ce document se propose d'apporter un éclairage sur les spécificités des options multi sous-jacents.... Full description

Libristo code: 06987564

86 b

35.29 € VAT included

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Ce document se propose d'apporter un éclairage sur les spécificités des options multi sous-jacents. Ces derničres ne peuvent pas ętre simplement considérées comme une généralisation des options ŕ sous- jacent unique. Ces options se singularisent d'emblée car leur valorisation et donc leur couverture dépendent fortement d'une matrice de corrélation. Les intuitions concernant leurs propriétés ainsi que l'apport de la théorie motivent les développements présentés.