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 112
... increase with increasing time . In particular , the bond value in- creases within the last coupon period and matches the total value of par plus last coupon at maturity . At the stock price level S = 100 ( same as conversion price ) ...
... increase with increasing time . In particular , the bond value in- creases within the last coupon period and matches the total value of par plus last coupon at maturity . At the stock price level S = 100 ( same as conversion price ) ...
Página 135
... ( increase ) by an equal amount . 5 Illustrative Examples Here we provide some numerical examples to demon- strate the effect of higher order moments on the implied volatility smile . We use stock index data downloaded from the Chicago ...
... ( increase ) by an equal amount . 5 Illustrative Examples Here we provide some numerical examples to demon- strate the effect of higher order moments on the implied volatility smile . We use stock index data downloaded from the Chicago ...
Página 383
... increase . On the other hand , as argued by Barsky ( 1989 ) , a drop in interest rates could result in a changing ... increase about 10.54 % for each additional unit of volatility increase . Using the mean monthly volatility 7.86 ...
... increase . On the other hand , as argued by Barsky ( 1989 ) , a drop in interest rates could result in a changing ... increase about 10.54 % for each additional unit of volatility increase . Using the mean monthly volatility 7.86 ...
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