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Obtaining distributional information from valuation lattices |
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| Authors: | C Douglas Howard |
| Institution: | 1. Department of Mathematics , University of Michigan , 2074 East Hall, Ann Arbor, MI 48109‐1109;2. Lehman Brothers , Fixed Income Derivatives Research , 745 Seventh Avenue, New York, NY 10019;3. Department of Electrical Engineering , Princeton University , Princeton, NJ 08544 |
| 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 |