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 89
... volatility estimation than the standard historical volatility . Bakshi , Cao and Chen ( 1997 ) also test S & P 500 index return volatility purely from cross - sectional option data , they find the long run average volatility is 20 ...
... volatility estimation than the standard historical volatility . Bakshi , Cao and Chen ( 1997 ) also test S & P 500 index return volatility purely from cross - sectional option data , they find the long run average volatility is 20 ...
Página 90
... volatility backed out from market price . As we can see , the implied volatility differs significantly across the exercise prices . There is an apparent trend that implied volatility decreases monotonically as the option goes from in ...
... volatility backed out from market price . As we can see , the implied volatility differs significantly across the exercise prices . There is an apparent trend that implied volatility decreases monotonically as the option goes from in ...
Página 92
... volatility option model . The estimated structural parameters are then used to compute the Heston model price , and the implied volatility that equates the Heston model price to the market price is computed and compared to the Black ...
... volatility option model . The estimated structural parameters are then used to compute the Heston model price , and the implied volatility that equates the Heston model price to the market price is computed and compared to the Black ...
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 |
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