재무연구 제 권 호 (2007년 4월)
Asian Review of Financial Research, Vol., No..
pp.1677~1688
pp.1677~1688
Derivative Prices with Uncertain Expected returns
Jung-Soon Hyun Business School KAIST, Cheongryangri-dong Dondaemun-gu, Seoul Korea 130-722
The optimal conditions of mean reversion speed for log-return of a stock is derived and approximate solutions are obtained. A value of a derivative under the initial measure is compared with the value under minimum variance measure. Moreover, the results provide an efficient way to simulate an underlying asset so that more accurate sensitivity analysis can be performed.
Jung-Soon Hyun
The optimal conditions of mean reversion speed for log-return of a stock is derived and approximate solutions are obtained. A value of a derivative under the initial measure is compared with the value under minimum variance measure. Moreover, the results provide an efficient way to simulate an underlying asset so that more accurate sensitivity analysis can be performed.
