March 2022
Beginner to intermediate
796 pages
18h 14m
Korean
Content preview from 파이썬을 활용한 금융 분석(2판) : 파이썬의 기초부터 금융공학, 머신러닝, 퀀트 분석, 매매 시스템 구현까지
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763
21
장
시장 기반 가치 평가
이 절에서는
DAX
30
지수를 기초 자산으로 하는 아메리칸 풋 옵션 포트폴리오를 가정한다.
거래소에서 거래되는 옵션 중에는 이러한 옵션이 없다. 단순화를 위해 포트폴리오에 있는 아메
리칸 풋 옵션의 만기가 보정에 사용된 유러피안 콜 옵션의 만기와 같다고 가정하자. 행사가도
마찬가지라고 가정한다.
21.3.1
옵션 포지션 모형
우선 기초 자산인
DAX
30
주가지수의 위험 요인에 대한 시장 환경은 보정 절차에서 얻은 최
적 매개변수로 모형화할 수 있다.
In [47]: me_dax = dx.market_environment('me_dax', pricing_date)
me_dax.add_constant('initial_value', initial_value)
me_dax.add_constant('final_date', pricing_date)
me_dax.add_constant('currency', 'EUR')
In [48]: me_dax.add_constant('volatility', opt_local[0])
➊
me_dax.add_constant('lambda', opt_local[1])
➊
me_dax.add_constant('mu', opt_local[2])
➊
me_dax.add_constant('delta', ...
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O’Reilly covers everything we've got, with content to help us build a world-class technology community, upgrade the capabilities and competencies of our teams, and improve overall team performance as well as their engagement.Julian F.
I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.Addison B.
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I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.