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 51
Página 89
... implied structural parameters from the option data differ more from the time series counterparts than they do from the indirect inference estimation . The mean reverting speed is 2.75 , which means that the volatility takes about 66 ...
... implied structural parameters from the option data differ more from the time series counterparts than they do from the indirect inference estimation . The mean reverting speed is 2.75 , which means that the volatility takes about 66 ...
Página 90
... implied volatility backed out from market price . As we can see , the implied volatility differs significantly across the exercise prices . There is an apparent trend that implied volatility decreases monotonically as the option goes ...
... implied volatility backed out from market price . As we can see , the implied volatility differs significantly across the exercise prices . There is an apparent trend that implied volatility decreases monotonically as the option goes ...
Página 124
... implied volatility based on American put options should be found by simulating the behaviour of real ants . Using experimental data sets we can show that the de- rived formula for calculating implied volatilities based on American put ...
... implied volatility based on American put options should be found by simulating the behaviour of real ants . Using experimental data sets we can show that the de- rived formula for calculating implied volatilities based on American put ...
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