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 95
Página 19
... Option Price Density Function of Payoff = C ( 1 ) K - Exercise Price E [ V ] Figure 1.2 Payoff and Option Price We will use this option formula in section 3 . V Probability Note that when V takes a lognormal distribution , this formula ...
... Option Price Density Function of Payoff = C ( 1 ) K - Exercise Price E [ V ] Figure 1.2 Payoff and Option Price We will use this option formula in section 3 . V Probability Note that when V takes a lognormal distribution , this formula ...
Página 85
... option and under price the in - the - money options , but the degree of the bias is different . The Heston model significantly outperforms the Black - Scholes model in almost all moneyness - maturity group . On average , the Heston ...
... option and under price the in - the - money options , but the degree of the bias is different . The Heston model significantly outperforms the Black - Scholes model in almost all moneyness - maturity group . On average , the Heston ...
Página 120
... option embedded in the ECB . In order to analyze the ECB , we set the benchmark parameters as in Table 2 . Table 4 The values of conversion option and currency option embedded in an ECB Bond value CB value Conversion Currency option value ...
... option embedded in the ECB . In order to analyze the ECB , we set the benchmark parameters as in Table 2 . Table 4 The values of conversion option and currency option embedded in an ECB Bond value CB value Conversion Currency option value ...
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