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 86
... index options . Similar price data was formerly used by Rubinstein ( 1985 ) , Bakshi , Cao and Chen ( 1997 ) and Nandi ( 1998 ) to test option - pricing models . Our sample period from January 1 , 1995 to December 9 , 1999 is more ...
... index options . Similar price data was formerly used by Rubinstein ( 1985 ) , Bakshi , Cao and Chen ( 1997 ) and Nandi ( 1998 ) to test option - pricing models . Our sample period from January 1 , 1995 to December 9 , 1999 is more ...
Página 218
... index as with the Japanese Yen as the vehicle currency at all five lengths of selection period . This suggests that for these five currencies , the extreme values still follow a Fréchet distribution when the vehicle currency changes ...
... index as with the Japanese Yen as the vehicle currency at all five lengths of selection period . This suggests that for these five currencies , the extreme values still follow a Fréchet distribution when the vehicle currency changes ...
Página 418
... Index 200 ( KOSPI 200 ) future price data from Jan 1999 to Dec 2001 was used for these experiments . The KOSPI 200 is a type of a market- value weighted index , which is similar to the S & P 500 futures index [ 13 ] . The base date is ...
... Index 200 ( KOSPI 200 ) future price data from Jan 1999 to Dec 2001 was used for these experiments . The KOSPI 200 is a type of a market- value weighted index , which is similar to the S & P 500 futures index [ 13 ] . The base date is ...
Contenido
BANKRUPTCY PREDICTION WITH LEAST | 1 |
SIMPLE DECISION MAKING CRITERION AS REAL OPTIONS | 17 |
INCLUDING LIFETIME AND OPTIONS IN RESIDUAL INCOME INDICATORS | 31 |
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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
AANN agents American put American put options analysis applied approach approximation arbitrage barrier option Black-Scholes bond calculated call option coefficients computed convertible bond correlation covariance currency data points data set decision defined delta hedge denote derived distribution dynamics Econometrics Economics equation error estimated evaluation exchange rate Figure financial time series forecast formula function fuzzy genetic algorithm given Heston model Hong Kong hypothesis implied volatility indicators input interest rate Journal of Finance kernel kurtosis linear matrix method momentum moving average neural network nonlinear normal normal distribution observations option pricing p-value pair-wise paper parameters performance period portfolio prediction problem Programming put options random ratio regression reset returns risk sample sequences Sharpe Ratio simulation standard deviation statistical stochastic volatility stock price strike price support vector machines SVMs Table tion trading rules training data trend variables variance wavelets