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 19
... 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 is equivalent to Black - Scholes ...
... 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 is equivalent to Black - Scholes ...
Página 23
... payoff of this defer option is positive if d = -D at time 0 . probability is calculated as follows , P [ V - I > 0 ] = P The = p [ V - V - m ' + m ' - I σ ' V - m ' m ' - 1 = σ ' σ ' Loss 1 Probability 0.8 Payoff > 0 Expected Expected ...
... payoff of this defer option is positive if d = -D at time 0 . probability is calculated as follows , P [ V - I > 0 ] = P The = p [ V - V - m ' + m ' - I σ ' V - m ' m ' - 1 = σ ' σ ' Loss 1 Probability 0.8 Payoff > 0 Expected Expected ...
Página 105
... payoff becomes : DiscPayoff ( m ) = R exp ( −rT1 ) • Exit loop and perform another Monte Carlo cycle ( steps 2-5 ) Else If x ( T ) > In H , then examine the next interval , that is increment i and perform another iteration of step 4 ...
... payoff becomes : DiscPayoff ( m ) = R exp ( −rT1 ) • Exit loop and perform another Monte Carlo cycle ( steps 2-5 ) Else If x ( T ) > In H , then examine the next interval , that is increment i and perform another iteration of step 4 ...
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 |
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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