... or
otherwise, without the prior permission ofthe publisher.
Except in the United States of America, this book is sold subject to the condition that it shall
not, by way of trade or otherwise, ... numerically. The optimal value ofthe asset volatility is an
increasing function ofthe bank leverage and a decreasing function ofthe knock-out value K.
This result means that the greater the bank's ... forecasting volatility for the period to
maturity ofthe option. The third assumption is that there are no transaction costs, so that the
proportions ofthe asset and option in the hedged portfolio...