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 123
... option pricing algorithms based on experimental data . The main objective is to assist in the generation , storage , and evaluation of large amounts of experimental option pricing data and to facilitate the identification of performance ...
... option pricing algorithms based on experimental data . The main objective is to assist in the generation , storage , and evaluation of large amounts of experimental option pricing data and to facilitate the identification of performance ...
Página 207
... Option Contract Option Contract -- τ max [ S - X , 0 ] Black - Scholes Option Contract Boundary Condition Naive valuation + Standard arithmetic Standard arithmetic Black - Scholes component Definition Stock price Exercise price Degree of ...
... Option Contract Option Contract -- τ max [ S - X , 0 ] Black - Scholes Option Contract Boundary Condition Naive valuation + Standard arithmetic Standard arithmetic Black - Scholes component Definition Stock price Exercise price Degree of ...
Página 229
... option is the single most important determinant of option prices ( Bates ( 1996 ) ) . The out - of - sample tests suggest that neither the Hull and White implied variance nor the historical variance contributes significantly to the ...
... option is the single most important determinant of option prices ( Bates ( 1996 ) ) . The out - of - sample tests suggest that neither the Hull and White implied variance nor the historical variance contributes significantly to 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