翻訳と辞書 Words near each other ・ Jamzvillage ・ Jamás ・ Jaméricourt ・ Jamésie ・ Jamón ・ Jamón ibérico ・ Jamón Jamón ・ Jamshidabad, Qaleh-ye Mozaffari ・ Jamshidabad, South Khorasan ・ Jamshidabad, Yusefvand ・ Jamshidabad-e Heydar ・ Jamshidabad-e Mirza ・ Jamshidi ・ Jamshidi (Hazara tribe) ・ Jamshidi needle ・ Jamshidian's trick ・ Jamshidieh Park ・ Jamshied Sharifi ・ Jamshila ・ Jamshlu ・ Jamshoro ・ Jamshoro District ・ Jamshoro Power Station ・ Jamshyd Godrej ・ Jamshīd al-Kāshī ・ Jamsi ・ Jamsil ・ Jamsil Arena ・ Jamsil Baseball Stadium ・ Jamsil Bridge Dictionary Lists mini英和辞書 mini和英辞書 Webster 1913 Latin-English FOLDOC Wikipedia English ウィキペディア

翻訳と辞書　辞書検索 [ 開発暫定版 ] スポンサード リンク Jamshidian's trick ： ウィキペディア英語版 Jamshidian's trick Jamshidian's trick is a technique for one-factor asset price models, which re-expresses an option on a portfolio of assets as a portfolio of options. It was developed by Farshid Jamshidian in 1989. The trick relies on the following simple, but very useful mathematical observation. Consider a sequence of monotone (increasing) functions $f\_i$ of one real variable (which map onto $[0,\backslash infty)$), a random variable $W$, and a constant $K\backslash ge0$. Since the function $\backslash sum\_i\; f\_i$ is also increasing and maps onto $[0,\backslash infty)$, there is a unique solution $w\backslash in\backslash mathbb$ to the equation $\backslash sum\_i\; f\_i(w)=K.$ Since the functions $f\_i$ are increasing: $\backslash left(\backslash sum\_i\; f\_i(W)-K\backslash right)\_+\; =\; \backslash left(\backslash sum\_i\; (f\_i(W)-f\_i(w))\backslash right)\_+\; =\; \backslash sum\_i\; (f\_i(W)-f\_i(w))1\_\{\backslash \{W\backslash ge\; w\backslash \}\}\; =\; \backslash sum\_i(f\_i(W)-f\_i(w))\_+.$ In financial applications, each of the random variables $f\_i(W)$ represents an asset value, the number $K$ is the strike of the option on the portfolio of assets. We can therefore express the payoff of an option on a portfolio of assets in terms of a portfolio of options on the individual assets $f\_i(W)$ with corresponding strikes $f\_i(w)$. ==References== *Jamshidian, F. (1989). "An exact bond option pricing formula," Journal of Finance, Vol 44, pp 205-209 Category:Mathematical finance Category:Fixed income analysis 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Jamshidian's trick」の詳細全文を読む スポンサード リンク 翻訳と辞書 : 翻訳のためのインターネットリソース Copyright(C) kotoba.ne.jp 1997-2016. All Rights Reserved.