simulation methods Flashcards

You may prefer our related Brainscape-certified flashcards:
1
Q

log normal distributio

A

start from 0.
probability dis to asset pricing

skewed to the right

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
1
Q
A
How well did you know this?
1
Not at all
2
3
4
5
Perfectly
2
Q

value of return on asset

A

continuosly compounding

ST = S0e^Tr
we assume that returns are independent and do not change

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
3
Q

volatility (annualized)

A

zmienność,

annualized standard dev of continuously compounded daily returns of the asset

  1. compound continuously daily rate of return
  2. then variance an then standard dev
  3. stand dev*pierw(T)
    t- liczba okresów w roku
How well did you know this?
1
Not at all
2
3
4
5
Perfectly
4
Q

resample

A

repeatedly draw sample from the original sample

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
5
Q

bootstrap method

A
How well did you know this?
1
Not at all
2
3
4
5
Perfectly
6
Q
A
How well did you know this?
1
Not at all
2
3
4
5
Perfectly