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Managing Portfolio of Options

  • Dariusz Gątarek
Part of the Studies in Fuzziness and Soft Computing book series (STUDFUZZ, volume 76)

Abstract

The aim of this note is to show that using sophisticate option pricing models is necessary not only for banks with big portfolios of exotic options. It is necessary also for portfolio management of plain vanilla options.

Keywords

Stock Price Option Price Stochastic Volatility Stock Option Implied Volatility 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Physica-Verlag Heidelberg 2001

Authors and Affiliations

  • Dariusz Gątarek
    • 1
    • 2
  1. 1.BRE Bank SAWarszawaPoland
  2. 2.Systems Research InstitutePolish Academy of SciencesWarszawaPoland

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