Similar Search Results

Pricing options using expected profit and loss measures

Venter, J. H.; Jongh, Pieter Juriaan de - In: The journal of investment strategies 11 (2022) 4, pp. 1-29

Persistent link: https://www.econbiz.de/10014335818

Trading binary options using expected profit and loss metrics

Venter, Johannes Hendrik; Jongh, Pieter Juriaan de - In: Risks : open access journal 10 (2022) 11, pp. 1-21

Trading in binary options is discussed using an approach based on expected profit (EP) and expected loss (EL) as metrics of reward and risk of trades. These metrics are reviewed and the role of the EL/EP ratio as an indicator of quality of trades, taking risk tolerance into account, is...

Persistent link: https://www.econbiz.de/10014226063

A simulation comparison of quantile approximation techniques for compound distributions popular in operational risk

Jongh, Pieter Juriaan de; De Wet, Tertius; Panman, Kevin; … - In: The journal of operational risk 11 (2016) 1, pp. 23-48

Persistent link: https://www.econbiz.de/10011518209

A proposed best practice model validation framework for banks

Jongh, Pieter Juriaan de; Larney, Janette; Maré, Eben; … - In: South African journal of economic and management sciences 20 (2017) 1, pp. 1-15

Persistent link: https://www.econbiz.de/10011778222

Trading option portfolios using expected profit and expected loss metrics

Venter, Johannes Hendrik; Jongh, Pieter Juriaan de - In: Risks : open access journal 12 (2024) 8, pp. 1-18

When trading in the call and put contracts of option chains, the portfolios of strikes must be selected. The trader must also decide whether to take long or short positions at the selected strikes. Dynamic strategies for making these decisions are discussed in this paper. On any day, the...

Persistent link: https://www.econbiz.de/10015065879

Combining scenario and historical data in the loss distribution approach : a new procedure that incorporates measures of agreement between scenarios and historical data

Jongh, P. J. de; De Wet, Tertius; Raubenheimer, H.; … - In: The journal of operational risk 10 (2015) 1, pp. 45-76

Persistent link: https://www.econbiz.de/10011298876

Probability measures on product spaces

Venter, J. H. - In: South African statistical journal 1 (1967) 1, pp. 3-20

Persistent link: https://www.econbiz.de/10002969044

Structural default models applied to South African banks

Venter, J. H.; Styger, Paul - In: Tydskrif vir studies in ekonomie en ekonometrie : SEE 32 (2008) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10003750844

Profitability of short term reversal strategies on the Johannesburg stock exchange

Terblanche, S. E.; Venter, J. H. - In: Tydskrif vir studies in ekonomie en ekonometrie : SEE 39 (2015) 3, pp. 67-92

Persistent link: https://www.econbiz.de/10011569477