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 |
Dentro del libro
Resultados 1-3 de 73
Página 75
... Deviation 0.22 0.2 0.18 0.16 0.14 0.12 9 10 11 12 9 Initial stock price -1.5 9 10 Initial stock price 11 12 Kurtosis 12 10 10 Initial stock price 11 12 9 10 Initial stock price 11 12 y In [ B2 / ( xK ) ] o√T - t + λo√T - t close to ...
... Deviation 0.22 0.2 0.18 0.16 0.14 0.12 9 10 11 12 9 Initial stock price -1.5 9 10 Initial stock price 11 12 Kurtosis 12 10 10 Initial stock price 11 12 9 10 Initial stock price 11 12 y In [ B2 / ( xK ) ] o√T - t + λo√T - t close to ...
Página 83
... deviation Figure 12 : Cumulated frequencies of the absolute deviations between A and its approximations based on 50,000 Ameri- can puts . Table 3 : Error measures for the approximations for the value of American put options on non ...
... deviation Figure 12 : Cumulated frequencies of the absolute deviations between A and its approximations based on 50,000 Ameri- can puts . Table 3 : Error measures for the approximations for the value of American put options on non ...
Página 106
... deviation is per iteration while the CPU time is per million iteration . The actual value of the barrier option is 4.513 . Example 2 In this example we use the following parameters values S1 = 100 , X = 110 , H = 85 , R = 1 , r = 0.05 ...
... deviation is per iteration while the CPU time is per million iteration . The actual value of the barrier option is 4.513 . Example 2 In this example we use the following parameters values S1 = 100 , X = 110 , H = 85 , R = 1 , r = 0.05 ...
Contenido
BANKRUPTCY PREDICTION WITH LEAST | 1 |
SIMPLE DECISION MAKING CRITERION AS REAL OPTIONS | 17 |
INCLUDING LIFETIME AND OPTIONS IN RESIDUAL INCOME INDICATORS | 31 |
Derechos de autor | |
Otras 6 secciones no mostradas
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
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