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Obtaining distributional information from valuation lattices 

Author: C. Douglas Howard
DOI: 10.1080/13504860010013035
Publication Frequency: 6 issues per year
Published in: journal Applied Mathematical Finance, Volume 7, Issue 2 June 2000 , pages 101 - 114
Number of References: 3
Formats available: PDF (English)
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Abstract

Efficient algorithms for obtaining information about the total return distribution of securities from valuation lattices are described. This information, including variances and covariances between securities, is useful when constructing hedging transactions that achieve specific objectives.
Keywords: Algorithm; Return; Distribution; Of; Securities; Valuation; Lattices; Variance; Covariance
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