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 118
... conditional probabilities of path - specific outcomes in the Monte Carlo simulation . They use these values to make early- exercise decisions and to value American put options on one , three , and ten underlying homogenous asset prices ...
... conditional probabilities of path - specific outcomes in the Monte Carlo simulation . They use these values to make early- exercise decisions and to value American put options on one , three , and ten underlying homogenous asset prices ...
Página 202
... Conditional mean of Y on Z NP Conditional mean of X1 on Z NP Conditional mean of X2 on Z NP Conditional mean of X3 on Z NP Conditional mean of X4 on Z Non Parametric Nonlinear component D = first difference operator ; log = logarithm E ...
... Conditional mean of Y on Z NP Conditional mean of X1 on Z NP Conditional mean of X2 on Z NP Conditional mean of X3 on Z NP Conditional mean of X4 on Z Non Parametric Nonlinear component D = first difference operator ; log = logarithm E ...
Página 302
... conditional density it is convenient to define the conditional mean , μ1 = E ( rt | Ft - 1 ) , and the con- ditional variance , o ? = var ( rt | Ft - 1 ) ( assuming that they exist ) . Subsequently we can define the standardized returns ...
... conditional density it is convenient to define the conditional mean , μ1 = E ( rt | Ft - 1 ) , and the con- ditional variance , o ? = var ( rt | Ft - 1 ) ( assuming that they exist ) . Subsequently we can define the standardized returns ...
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