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They are the stock price of the issuer's firm , the exchange rate , the domestic interest rate , and the foreign interest rate . We summarize the notations as follows . S = underlying stock price denominated in the foreign currency . r1 ...
They are the stock price of the issuer's firm , the exchange rate , the domestic interest rate , and the foreign interest rate . We summarize the notations as follows . S = underlying stock price denominated in the foreign currency . r1 ...
Página 119
... T Time to maturity 5 rd Domestic interest rate parameters Initial instantaneous interest rate 0.06 Magnitude of mean - reverting force 0.2 Kd Long - run mean of interest rate 0.07 μα Volatility of interest rate 0.08 S σs Tree method ...
... T Time to maturity 5 rd Domestic interest rate parameters Initial instantaneous interest rate 0.06 Magnitude of mean - reverting force 0.2 Kd Long - run mean of interest rate 0.07 μα Volatility of interest rate 0.08 S σs Tree method ...
Página 383
Finally , we further investigate how much the behavior of returns for our different momentum portfolios can be explained by factors related to both volatility and interest rate in the context of the following nonlinear regression of the ...
Finally , we further investigate how much the behavior of returns for our different momentum portfolios can be explained by factors related to both volatility and interest rate in the context of the following nonlinear regression of the ...
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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
agents algorithm analysis applied approach approximation asset assume average bond bound calculated changes compared computed conditional consider correlation corresponding cost currency decision defined denote depends derived deviation distribution dynamics Economics effect equation error estimated example exchange rate expected experiment Figure fitness forecast function future genetic given hedging implied increase indicators input interest investment Journal linear mean measure method moving neural network nonlinear normal Note observations obtained operating optimal option parameters patterns performance period points portfolio positive prediction present probability problem profit Programming random ratio REFERENCES respectively returns risk rules sample selection shows simulation square standard statistical step stochastic stock price strategies Table term tion trading trend University variables vector volatility weights
Información bibliográfica
| Título | Proceedings of the IEEE/IAFE 1995 Computational Intelligence for Financial Engineering (CIFEr): April 9-11, 1995, New York City, Crowne Plaza Manhattan |
| Colaboradores | IEEE Computer Society, IEEE Neural Networks Council, International Association of Financial Engineers |
| Editor | IEEE Service Center, 1995 |
| Procedencia del original | Universidad de Michigan |
| Digitalizado | 11 Ene. 2008 |
| ISBN | 0780321464, 9780780321465 |
| Largo | 192 páginas |
| Exportar cita | BiBTeX EndNote RefMan |