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1. Contingent claim valuation with penalty costs on short selling positions. / Um modelo estocástico para o apreçamento de derivativos com penalidades em vendas a descoberto.
In this work we present a financial theory with penalty costs on short selling positions. Penalty costs differ from transaction costs for they do not depend on changes on trading positions (strategies). In the case of short selling in stocks, the investor borrows and then sells the position; in this case, the penalty costs are associated with the borrowing r
Publicado em: 2006