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Página 90
Table 3 reports the average Black - Scholes implied volatility computed either from market price or from Heston model price . First , we look at the implied volatility backed out from market price . As we can see , the implied ...
Table 3 reports the average Black - Scholes implied volatility computed either from market price or from Heston model price . First , we look at the implied volatility backed out from market price . As we can see , the implied ...
Página 92
The estimated structural parameters are then used to compute the Heston model price , and the implied volatility that equates the Heston model price to the market price is computed and compared to the Black - Scholes implied volatility ...
The estimated structural parameters are then used to compute the Heston model price , and the implied volatility that equates the Heston model price to the market price is computed and compared to the Black - Scholes implied volatility ...
Página 97
Since most optimization algorithms are gradient based , it is necessary to compute VJ1 and VJ2 . ... These partial derivatives can be computed directly from ( 15 ) and ( 16 ) , and we do not explicitly compute them here .
Since most optimization algorithms are gradient based , it is necessary to compute VJ1 and VJ2 . ... These partial derivatives can be computed directly from ( 15 ) and ( 16 ) , and we do not explicitly compute them here .
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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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Otras ediciones - Ver todas
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 algorithm analysis applied approach approximation asset assume average bond bound calculated changes compared computed conditional consider correlation corresponding cost currency decision defined denote depends derived deviation distribution dynamics Economics effect equation error estimated example exchange rate expected experiment Figure fitness forecast function future genetic given hedging implied increase indicators input interest investment Journal linear mean measure method moving neural network nonlinear normal Note observations obtained operating optimal option parameters patterns performance period points portfolio positive prediction present probability problem profit Programming random ratio REFERENCES respectively returns risk rules sample selection shows simulation square standard statistical step stochastic stock price strategies Table term tion trading trend University variables vector volatility weights
Información bibliográfica
| Título | Proceedings of the IEEE/IAFE 1995 Computational Intelligence for Financial Engineering (CIFEr): April 9-11, 1995, New York City, Crowne Plaza Manhattan |
| Colaboradores | IEEE Computer Society, IEEE Neural Networks Council, International Association of Financial Engineers |
| Editor | IEEE Service Center, 1995 |
| Procedencia del original | Universidad de Michigan |
| Digitalizado | 11 Ene. 2008 |
| ISBN | 0780321464, 9780780321465 |
| Largo | 192 páginas |
| Exportar cita | BiBTeX EndNote RefMan |