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 75
... close to the barrier where hedging is most difficult . ( 24 ) 4 Conclusion In this section we hedged a down - and - out barrier call op- tion , where the initial price of the stock varied in the range S = [ 9 , 12 ] , the strike was at ...
... close to the barrier where hedging is most difficult . ( 24 ) 4 Conclusion In this section we hedged a down - and - out barrier call op- tion , where the initial price of the stock varied in the range S = [ 9 , 12 ] , the strike was at ...
Página 90
... close to the Black- Scholes implied volatility , it means that the theoretical price is close to the market price . By examining the Black- Scholes implied volatility computed from the stochastic volatility option pricing model price ...
... close to the Black- Scholes implied volatility , it means that the theoretical price is close to the market price . By examining the Black- Scholes implied volatility computed from the stochastic volatility option pricing model price ...
Página 388
... close neighbors in the lattice have their weight vectors adjusted towards the input pattern presented on each iteration . Unlike other clus- tering methods such as k - means clustering ( [ 8 ] ) , Kohonen's SOMS have the advantage that ...
... close neighbors in the lattice have their weight vectors adjusted towards the input pattern presented on each iteration . Unlike other clus- tering methods such as k - means clustering ( [ 8 ] ) , Kohonen's SOMS have the advantage that ...
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