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|Title:||Estimation of the Maximum Average Loss for investment positions in futures of the Athens Derivatives Exchange Market||Authors:||Konstantinos Kyritsis
|Keywords:||Οικονομικά||Issue Date:||15-Mar-2001||Publisher:||Archives of Economic History||Source:||Archives of Economic History 2001 volume XIII issue no 2 pp 103-110||Abstract:||Abstract In this paper we discuss the risk of mark-to-market loss of positions with leverage, of infinite horizon, in futures. We make the usual assumptions of Lognormal distribution and geometric Brownian motion, for the underlying as in the Black-Scholes options pricing model. With these assumptions we estimate the tables of required liquidity for futures on FTSE-20 and FTSE-40 in the Athens Derivatives Exchange Market and the maximum average Loss of infinite horizon investment positions in Derivative Exchange Market.||URI:||http://cris.teiep.gr/jspui/handle/123456789/1355|
|Appears in Collections:||Δημοσιεύσεις σε Περιοδικά|
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