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 18
... neutral probability . Rewriting ( 1.4 ) yields ( 1.6 ) : Option pricing formula 1 The value of a one - period call option on a stock governed by a binomial lattice process is C = 1 ( qC , + ( 1 − q ) C2 ) ( 1.6 ) Another way to obtain ...
... neutral probability . Rewriting ( 1.4 ) yields ( 1.6 ) : Option pricing formula 1 The value of a one - period call option on a stock governed by a binomial lattice process is C = 1 ( qC , + ( 1 − q ) C2 ) ( 1.6 ) Another way to obtain ...
Página 117
... neutral world can be expressed as : dr . = [ k , ( μ , −r , ) − λ , 0 , √r , ] di + o , √r , dz , ( 1 ) where C , is the number of shares of the issuer's common stock into which the ECB can be converted . Hence , CSX is the ...
... neutral world can be expressed as : dr . = [ k , ( μ , −r , ) − λ , 0 , √r , ] di + o , √r , dz , ( 1 ) where C , is the number of shares of the issuer's common stock into which the ECB can be converted . Hence , CSX is the ...
Página 365
... neutral to long and back to neutral ( or neutral - short - neutral . ) Because currency trading is typically commission free no further transaction cost is applied . For all experiments trad- ing and performance is calculated in this ...
... neutral to long and back to neutral ( or neutral - short - neutral . ) Because currency trading is typically commission free no further transaction cost is applied . For all experiments trad- ing and performance is calculated in this ...
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