Portfolio liquidity risk management with expected shortfall constraint
essex.academia.edu | 2019-02-20
A prototype of pricing system for the Asian option based on QuantLib and FpML
In this report, a prototype pricing system for the arithmetic Asian option is developed with the use of QuantLib and FpML. It is believed that Asian options have effective risk management features because the spot prices of the underlying are
https://essex.academia.edu/HwayoungLee | 2019-02-17
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