Obtaining distributional information from valuation lattices

C. Douglas Howard

Applied Mathematical Finance, 2000, vol. 7, issue 2, 101-114

Abstract: Efficient algorithms for obtaining information about the total return distribution of securities from valuation lattices are described. This information, including variances and covariances between securities, is useful when constructing hedging transactions that achieve specific objectives.

Keywords: Algorithm Return Distribution Of Securities Valuation Lattices Variance Covariance (search for similar items in EconPapers)
Date: 2000
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DOI: 10.1080/13504860010013035

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