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 72
... error , another may care more about worst case scenerios , and hence value - at- risk might be a more appropriate measure of error . For this paper , we define the discounted hedging error to be rT hee - T ( P ( T ) – C ( T ) ) ( 4 ) ...
... error , another may care more about worst case scenerios , and hence value - at- risk might be a more appropriate measure of error . For this paper , we define the discounted hedging error to be rT hee - T ( P ( T ) – C ( T ) ) ( 4 ) ...
Página 73
... error for each op- tion , we used our software package ( which is currently un- der development ) which implemented a trinomial lattice dis- cretization for the stock price process ( 11 ) with 1600 parti- tions along the time axis ...
... error for each op- tion , we used our software package ( which is currently un- der development ) which implemented a trinomial lattice dis- cretization for the stock price process ( 11 ) with 1600 parti- tions along the time axis ...
Página 91
... error between the model price and the market price , while the MAE measures the dispersion of the pricing error . We compute MRE and MAE for all maturity - moneyness groups . Table 4 reports the percentage pricing error for both the ...
... error between the model price and the market price , while the MAE measures the dispersion of the pricing error . We compute MRE and MAE for all maturity - moneyness groups . Table 4 reports the percentage pricing error for both the ...
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 | |
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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