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 91
... example , the average pricing error for short - term deep - out - of - the - money options is 42 % for the Black - Scholes model and 32 % for the Heston model . The magnitude of pricing error for out - of - the - money options is much ...
... example , the average pricing error for short - term deep - out - of - the - money options is 42 % for the Black - Scholes model and 32 % for the Heston model . The magnitude of pricing error for out - of - the - money options is much ...
Página 106
... example 1. Standard 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 ...
... example 1. Standard 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 ...
Página 211
... example , estimation of the tail index for the DM / U.S. $ exchange rate with daily data ranging from 1974 to 1998 yields an estimate ? = 3.69 ( 95 % confidence interval : 3.38 to 4.10 ) when using the five percent largest absolute ...
... example , estimation of the tail index for the DM / U.S. $ exchange rate with daily data ranging from 1974 to 1998 yields an estimate ? = 3.69 ( 95 % confidence interval : 3.38 to 4.10 ) when using the five percent largest absolute ...
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