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In the first step , the simulation - based indirect inference method is used to estimate the structural parameters that govern the underlying asset process ( μ , к , 0 , ŋ ) . We set μ to zero because our study of S & P 500 5 - minute ...
In the first step , the simulation - based indirect inference method is used to estimate the structural parameters that govern the underlying asset process ( μ , к , 0 , ŋ ) . We set μ to zero because our study of S & P 500 5 - minute ...
Página 118
Broadie and Glasserman ( 1997 ) also developed a simulation algorithm , which produces two estimators for the true option value ; one is biased high ... Both are asymptotically unbiased as the number of simulations tends to infinity .
Broadie and Glasserman ( 1997 ) also developed a simulation algorithm , which produces two estimators for the true option value ; one is biased high ... Both are asymptotically unbiased as the number of simulations tends to infinity .
Página 432
3 EXPERIMENTAL The simulation results presented in the paper have been obtained using custom - built software developed by the au- thor in C / C ++ under Linux . The software simulates ar- tificial neural networks , facilitates their ...
3 EXPERIMENTAL The simulation results presented in the paper have been obtained using custom - built software developed by the au- thor in C / C ++ under Linux . The software simulates ar- tificial neural networks , facilitates their ...
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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 | |
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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 |