Jamshidian's trick
id:
jamshidian-s-trick-291-13740425
title:
Jamshidian's trick
text:
Jamshidian's trick is a technique for one-factor asset price models, which re-expresses an option on a portfolio of assets as a portfolio of options. It was developed by Farshid Jamshidian in 1989. The trick relies on the following simple, but very useful mathematical observation. Consider a sequence of monotone (increasing) functions f i of one real variable ), a random variable W , and a constant K ≥ 0 . Since the function ∑ i f i is also increasing and maps onto [ 0 , ∞ ) , there is a unique
brand slug:
wiki
category slug:
encyclopedia
description:
Price model technique
original url:
https://en.wikipedia.org/wiki/Jamshidian%27s_trick
date created:
date modified:
2021-03-24T19:36:37Z
main entity:
{"identifier":"Q6148253","url":"https://www.wikidata.org/entity/Q6148253"}
image:
fields total:
13
integrity:
14