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 88
... parameters jointly from the time series return data and the corresponding option data . We would like to know whether the statistical precision of diffusion parameters could be improved by incorporating information from both the ...
... parameters jointly from the time series return data and the corresponding option data . We would like to know whether the statistical precision of diffusion parameters could be improved by incorporating information from both the ...
Página 119
... parameters . Notation 16 Table 2 Benchmark parameters Description Asset parameters Underlying stock price Initial value 100 S Volatility of stock price 0.3 Os q Dividend rate 0 T Time to maturity 5 rd Domestic interest rate parameters ...
... parameters . Notation 16 Table 2 Benchmark parameters Description Asset parameters Underlying stock price Initial value 100 S Volatility of stock price 0.3 Os q Dividend rate 0 T Time to maturity 5 rd Domestic interest rate parameters ...
Página 218
... parameters are highly significantly different from zero . Furthermore , as expected , across all currencies and for all lengths of selection periods , while the location parameters are always negative for minimal changes , they are ...
... parameters are highly significantly different from zero . Furthermore , as expected , across all currencies and for all lengths of selection periods , while the location parameters are always negative for minimal changes , they are ...
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
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