haku: @author Rubinstein, M. / yhteensä: 15
viite: 2 / 15
| Tekijä: | Rubinstein, M. |
| Otsikko: | Derivatives Performance Attribution |
| Lehti: | Journal of Financial and Quantitative Analysis
2001 : MAR, VOL. 36:1, p. 75-92 |
| Asiasana: | DERIVATIVE SECURITIES MONTE CARLO TECHNIQUE FINANCE |
| Kieli: | eng |
| Tiivistelmä: | This paper shows how to decompose the dollar profit earned from an option into two basic components: i) mispricing of the option relative to the asset at the time of purchase; and ii) profit from subsequent fortuitous changes or mispricing of the underlying asset. This separation hinges on measuring the "true relative value" of the option from its realized payoff. The payoff from any one option has a huge standard error about this value that can be reduced by averaging the payoff from several independent option positions. Simulations indicate that 95% reductions in standard errors can be further achieved by using the payoff of a dynamic replicating portfolio as a Monte Carlo control variate. |
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