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 39
Página 63
... hedging problem is ill - posed . We propose to determine a hedging portfo- lio by minimizing a proportional cost subject to an upper bound on the hedge risk ; this bound is typically slightly larger than the optimal hedge risk ...
... hedging problem is ill - posed . We propose to determine a hedging portfo- lio by minimizing a proportional cost subject to an upper bound on the hedge risk ; this bound is typically slightly larger than the optimal hedge risk ...
Página 71
... hedging error resulting from applying a delta hedge and mean square optimal hedge to a European call option , a dig- ital call option , and a down - and - out barrier call option . The results indicate that the two hedges perform ...
... hedging error resulting from applying a delta hedge and mean square optimal hedge to a European call option , a dig- ital call option , and a down - and - out barrier call option . The results indicate that the two hedges perform ...
Página 72
... Hedging Evaluation In this paper , we consider the hedging of options or derivative securities . Let T be the expiration date of an op- tion and C ( T ) denote the possibly path dependent payoff of the option . The essence of the ...
... Hedging Evaluation In this paper , we consider the hedging of options or derivative securities . Let T be the expiration date of an op- tion and C ( T ) denote the possibly path dependent payoff of the option . The essence of 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 | |
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