• DocumentCode
    2028721
  • Title

    Apples to oranges: reconciling “vegas” from inconsistent valuation models by a stochastic change of coordinates

  • Author

    Kuruc, Alvin

  • Author_Institution
    Infinity, Mountain View, CA, USA
  • fYear
    2000
  • fDate
    2000
  • Firstpage
    143
  • Lastpage
    146
  • Abstract
    We present fundamental research on new notions of “vega” that, unlike the usual ones, can sensibly be added together across different valuation models. First, we describe the basic ideas using simple models of equity prices. Next, we outline the application of these ideas to interest-rate derivatives
  • Keywords
    costing; modelling; stochastic processes; stock markets; equity prices; inconsistent valuation models; interest-rate derivatives; stochastic coordinate change; stock prices; valuation models; vega reconciliation; Cost accounting; Economic indicators; Equations; H infinity control; History; Stochastic processes;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Computational Intelligence for Financial Engineering, 2000. (CIFEr) Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on
  • Conference_Location
    New York, NY
  • Print_ISBN
    0-7803-6429-5
  • Type

    conf

  • DOI
    10.1109/CIFER.2000.844612
  • Filename
    844612
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=2028721