Essays about: "Ho-Lee"

Found 1 essay containing the word Ho-Lee.

  1. 1. Investigation of portfolio strategies by means of simulation

    University essay from Göteborgs universitet/Institutionen för matematiska vetenskaper

    Author : Alexander Schälin; [2022-07-01]
    Keywords : Constant proportion portfolio insurance; Option based portfolio insurance; Irrational fraction brownian motion; Constant elasticity of variance; Ho-Lee; Black- Derman-Toy;

    Abstract : Portfolio insurance strategies are constructed to limit an investors loss but still reward them when the market goes up. In this thesis we compare two portfolio insurance strategies, Constant proportion portfolio insurance (CPPI) and Option based portfolio insurance. READ MORE