Explain the econometric models
Explain the econometric models.
Expert
There is one slight problem along with these econometric models, still. The econometrician develops his volatility models in discrete time, while the option-pricing quant would ideally as a continuous-time stochastic differential equation model. Luckily, in many cases the discrete-time model can be reinterpreted like a continuous-time model (where weak convergence as like the time step gets smaller), and therefore both the econometrician and the quant are happy. Even, of course, the econometric models, being based upon real stock price data, result in a model for the real and not the risk-neutral volatility process. For going from one to the other needs knowledge of the market price of volatility risk.
What is mathematical definition of risk in form of semi-variance?
What is Sub-additivity?
What is the reason that variation coefficient mostly considered a better risk measure while comparing different projects than the standard deviation?
What is an option price?
What is the Black–Scholes Equation?
How can financial managers estimate the average tax rate?
How Value at Risk simply calculated?
What is a mathematical definition of risk?
What are the characteristics of an efficient market?
How many prices have in practice option for put–call parity?
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