∂stimation of maximum average loss for investment position in futures of the Athens derivatives exchange market
Part of : Αρχείον οικονομικής ιστορίας ; Vol.XIII, No.2, 2001, pages 103-110
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103-110
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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.
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