Proceedings of the IEEE/IAFE 1995 Computational Intelligence for Financial Engineering (CIFEr): April 9-11, 1995, New York City, Crowne Plaza ManhattanIEEE Service Center, 1995 - 192 páginas |
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Página 238
... implied variance over future variance , it is necessary to estimate the implied variance from options with maturities that can match the fixed forecasting horizon . In addition . increasing the number of option prices used to extract ...
... implied variance over future variance , it is necessary to estimate the implied variance from options with maturities that can match the fixed forecasting horizon . In addition . increasing the number of option prices used to extract ...
Página 240
... implied variance from the observed market prices , the estimated implied variance will be higher than the true market expectation of future variance of the underlying asset . The existence of the nonzero variance risk premium also adds ...
... implied variance from the observed market prices , the estimated implied variance will be higher than the true market expectation of future variance of the underlying asset . The existence of the nonzero variance risk premium also adds ...
Página 241
... implied variance . In fact , the parameter estimates of the HW implied variance and the his- torical variance are not significantly different from zero when the Heston implied variance is present as an explanatory variable . The ...
... implied variance . In fact , the parameter estimates of the HW implied variance and the his- torical variance are not significantly different from zero when the Heston implied variance is present as an explanatory variable . The ...
Contenido
Outliers Influence Functions and Robust Portfolio Optimization | 1 |
tacting BlackScholes to a NonBlackSchcies Environment 137 | 4 |
A Theory of Price Formation in A Market with Short Sale Prohibition | 15 |
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Proceedings of the IEEE/IAFE 1995 Computational Intelligence for Financial ... Vista de fragmentos - 1995 |
Proceedings of the IEEE/IAFE 1995 Computational Intelligence for Financial ... Vista de fragmentos - 1995 |
Proceedings of the IEEE/IAFE 1995 Computational Intelligence for Financial ... Vista de fragmentos - 1995 |
Términos y frases comunes
agents analysis ASPID Banco Bank of Tokyo-Mitsubishi behavior Black-Scholes cash flow mapping catastrophe losses CatLoss cointegration computational correlation covariance matrix data mining data set database deposit closings derivative distribution dynamics Easley and O'Hara efficient frontier error estimate evaluation expected FDIC Figure financial ratios FINANZIA fuzzy set Genetic genetic algorithm given growth rates h₁ implied variance independent component analysis Influence function informed traders instruments with means insured deposit Journal learning linear market maker Markov models method minimum variance portfolio multinomial Neural Networks neutral mapping option pricing overall parameter predict pricing algorithms probability problem rate of convergence ratio reinsurance risk neutral risk-neutral rules selection sell short sale short sale prohibition simulation specification standard deviations statistical stochastic stock price stock returns t₁ tangency portfolio techniques theta trading volume uncertainty underwriting uninformed V₁ V₂ variables vector volatility weighted