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 73
... mean square optimal hedge is computed by solv- ing the optimization given in ( 10 ) . To analyze the two hedging schemes , we varied the un- derlying initial stock price in the range S = [ 8 , 12 ] while the strike was held constant at ...
... mean square optimal hedge is computed by solv- ing the optimization given in ( 10 ) . To analyze the two hedging schemes , we varied the un- derlying initial stock price in the range S = [ 8 , 12 ] while the strike was held constant at ...
Página 74
... mean square optimal hedge for a European call option . Parameters : S = [ 8,12 ] , K = 10 . Figure 2 : Difference between a delta hedge and a. Skewness Mean 3 2 - -2 -3 -0.2 -0.4 -0.6 -0.8 ∞ 0.16 Delta Mean Square Standard Deviation ...
... mean square optimal hedge for a European call option . Parameters : S = [ 8,12 ] , K = 10 . Figure 2 : Difference between a delta hedge and a. Skewness Mean 3 2 - -2 -3 -0.2 -0.4 -0.6 -0.8 ∞ 0.16 Delta Mean Square Standard Deviation ...
Página 75
... mean square optimal hedge for a digital call option . Parameters : S = [ 8,12 ] , K = 10 . Skewness Mean 0.1 Delta 0.05 -0.05 0 0.16 Mean Square. Skewness 10 × 10-3 Delta Mean Square 5 O Mean 0.5 -0.5 -1 O -5 Standard Deviation 0.22 0.2 ...
... mean square optimal hedge for a digital call option . Parameters : S = [ 8,12 ] , K = 10 . Skewness Mean 0.1 Delta 0.05 -0.05 0 0.16 Mean Square. Skewness 10 × 10-3 Delta Mean Square 5 O Mean 0.5 -0.5 -1 O -5 Standard Deviation 0.22 0.2 ...
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 | |
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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