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 20
... decision may be deferred Time value of money Time to expiration R Risk - free rate of return -3.8 M Riskiness of the project assets น 82 Variance of returns on stock Fig . 2.1 Mapping an Defer Option onto a Call Option Source : [ 8 ] ...
... decision may be deferred Time value of money Time to expiration R Risk - free rate of return -3.8 M Riskiness of the project assets น 82 Variance of returns on stock Fig . 2.1 Mapping an Defer Option onto a Call Option Source : [ 8 ] ...
Página 22
... decision to invest , the option value is same as expectation of loss . ROV = -8 dv By symmetry , ( 3.14 ) can be written as : ( 3.14 ) Combined Decision Criterion Invest if D * < d Invest carefully if 0 < d < D Wait and watch if - D ...
... decision to invest , the option value is same as expectation of loss . ROV = -8 dv By symmetry , ( 3.14 ) can be written as : ( 3.14 ) Combined Decision Criterion Invest if D * < d Invest carefully if 0 < d < D Wait and watch if - D ...
Página 24
... decision index d , uncertain adjusted NPV , and D * , the break - even point of NPV and ROV ( real option value ) = 0.276 give us clear solution to make decision under uncertainty . When making decision , managers have to observe only ...
... decision index d , uncertain adjusted NPV , and D * , the break - even point of NPV and ROV ( real option value ) = 0.276 give us clear solution to make decision under uncertainty . When making decision , managers have to observe only ...
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