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Full-Text Articles in Statistical Models
Pricing And Hedging Index Options With A Dominant Constituent Stock, Helen Cheyne
Pricing And Hedging Index Options With A Dominant Constituent Stock, Helen Cheyne
Electronic Thesis and Dissertation Repository
In this paper, we examine the pricing and hedging of an index option where one constituents stock plays an overly dominant role in the index. Under a Geometric Brownian Motion assumption we compare the distribution of the relative value of the index if the dominant stock is modeled separately from the rest of the index, or not. The former is equivalent to the relative index value being distributed as the sum of two lognormal random variables and the latter is distributed as a single lognormal random variable. Since these are not equal in distribution, we compare the two models. The …
Stochastic Dea With A Perfect Object And Its Application To Analysis Of Environmental Efficiency, Alexander Vaninsky
Stochastic Dea With A Perfect Object And Its Application To Analysis Of Environmental Efficiency, Alexander Vaninsky
Publications and Research
The paper introduces stochastic DEA with a Perfect Object (SDEA PO). The Perfect Object (PO) is a virtual Decision Making Unit (DMU) that has the smallest inputs and greatest outputs. Including the PO in a collection of actual objects yields an explicit formula of the efficiency index. Given the distributions of DEA inputs and outputs, this formula allows us to derive the probability distribution of the efficiency score, to find its mathematical expectation, and to deliver common (group–related) and partial (object-related) efficiency components. We apply this approach to a prospective analysis of environmental efficiency of the major national and regional …