Enviar artigo por via de e-mail Modeling futures price dynamics on the RTS and MICEX indices
- Autores: Golembiovsky D.Y.1, Denisov D.V.1, Petrovykh A.S.1
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Afiliações:
- Faculty of Computational Mathematics and Cybernetics
- Edição: Volume 40, Nº 4 (2016)
- Páginas: 171-178
- Seção: Article
- URL: https://journals.rcsi.science/0278-6419/article/view/176154
- DOI: https://doi.org/10.3103/S027864191604004X
- ID: 176154
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Resumo
Reasons for the substantial differences of historical and theoretical futures prices on RTS and MICEX indices are investigated. A model is proposed that considers the observed differences for the modeling of futures prices within the risk assessment of a portfolio of derivatives using the Monte Carlo method.
Sobre autores
D. Golembiovsky
Faculty of Computational Mathematics and Cybernetics
Autor responsável pela correspondência
Email: golemb@cs.msu.su
Rússia, Moscow, 119991
D. Denisov
Faculty of Computational Mathematics and Cybernetics
Email: golemb@cs.msu.su
Rússia, Moscow, 119991
A. Petrovykh
Faculty of Computational Mathematics and Cybernetics
Email: golemb@cs.msu.su
Rússia, Moscow, 119991
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