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Abstract : This paper studies the price of S & P 500 index options by using Heston's ( 1993 ) stochastic volatility option pricing model . The Heston model is calibrated by a two - step estimation procedure to incorporate both the ...
Abstract : This paper studies the price of S & P 500 index options by using Heston's ( 1993 ) stochastic volatility option pricing model . The Heston model is calibrated by a two - step estimation procedure to incorporate both the ...
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A Monte - Carlo method for portfolio optimization under partially observed stochastic volatility Rahul Desai , Tanmay Lele * , and Frederi Viens # Department of Mathematics and School of Elec . and Comp .
A Monte - Carlo method for portfolio optimization under partially observed stochastic volatility Rahul Desai , Tanmay Lele * , and Frederi Viens # Department of Mathematics and School of Elec . and Comp .
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2 THE MATHEMATICAL PROBLEM 2.1 Portfolio optimization with stochastic volatility We will work exclusively in a model in which the risk- free asset B is assumed to have a constant interest rate r : Bt = ert for all t≥ 0.
2 THE MATHEMATICAL PROBLEM 2.1 Portfolio optimization with stochastic volatility We will work exclusively in a model in which the risk- free asset B is assumed to have a constant interest rate r : Bt = ert for all t≥ 0.
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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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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 |