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 |
Dentro del libro
Resultados 1-3 de 82
Página 12
... term target leverage ratio observed em- pirically by Collin - Dufresne and Goldstein ( 2001 ) . The use of high OR of 0.732 in the first year is explained by the observation that default occurring at short term is mainly triggered by a ...
... term target leverage ratio observed em- pirically by Collin - Dufresne and Goldstein ( 2001 ) . The use of high OR of 0.732 in the first year is explained by the observation that default occurring at short term is mainly triggered by a ...
Página 90
... term options increases the most , indicating that the short - term option is most severely mispriced under the Black - Scholes model . Then we look at the implied volatility computed from Heston model price . Since volatility is the ...
... term options increases the most , indicating that the short - term option is most severely mispriced under the Black - Scholes model . Then we look at the implied volatility computed from Heston model price . Since volatility is the ...
Página 92
... term and long - term options . But for short - term options , there is a significant deviation , indicating that the Heston model is seriously mispricing short - term options . In particular , the implied volatility from short - term ...
... term and long - term options . But for short - term options , there is a significant deviation , indicating that the Heston model is seriously mispricing short - term options . In particular , the implied volatility from short - term ...
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 | |
Otras 6 secciones no mostradas
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
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