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 23
... probability that the 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 > ...
... probability that the 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 > ...
Página 238
... probability 1 % , and gain 0.2 % with probability 0.5 % . 2.2 Relaxation Time of Arbitrage Chances We have confirmed the existence of many arbitrage chances in triangular trades . However chances that immediately vanish after one second ...
... probability 1 % , and gain 0.2 % with probability 0.5 % . 2.2 Relaxation Time of Arbitrage Chances We have confirmed the existence of many arbitrage chances in triangular trades . However chances that immediately vanish after one second ...
Página 239
... probability P ( > T ) which shows the total probability of T being larger than a particular value T. These are plotted in log - log scale in Figure 5. The graph for one day on October 1 , 1992 is shown in Figure 5 ( a ) , which can be ...
... probability P ( > T ) which shows the total probability of T being larger than a particular value T. These are plotted in log - log scale in Figure 5. The graph for one day on October 1 , 1992 is shown in Figure 5 ( a ) , which can be ...
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 |
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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