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Payoff , 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 ...
Payoff , 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 ...
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Pricing S & P 500 Index Options with Heston's Model Jin E. Zhang , and Jinghong Shu * Department of Finance ... paper studies the price of S & P 500 index options by using Heston's ( 1993 ) stochastic volatility option pricing model .
Pricing S & P 500 Index Options with Heston's Model Jin E. Zhang , and Jinghong Shu * Department of Finance ... paper studies the price of S & P 500 index options by using Heston's ( 1993 ) stochastic volatility option pricing model .
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and currency 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 ...
and currency 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 ...
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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 |
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
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 |