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 211
... error ( AVERR ) is the average error outside the bid / ask spread . If the theoretical value is below ( exceeds ) the option's bid ( ask ) price , the error is defined as the difference between the theoretical value and the bid ( ask ) ...
... error ( AVERR ) is the average error outside the bid / ask spread . If the theoretical value is below ( exceeds ) the option's bid ( ask ) price , the error is defined as the difference between the theoretical value and the bid ( ask ) ...
Página 216
... errors for all times to expiration . This arises because at - the - money options are the most sensitive to volatility ( where time premium is highest ) . For a given error in the estimated volatility rate , the dollar valuation error ...
... errors for all times to expiration . This arises because at - the - money options are the most sensitive to volatility ( where time premium is highest ) . For a given error in the estimated volatility rate , the dollar valuation error ...
Página 220
... errors in the Black / Scholes model : model error and market error , which they distinguish by assuming that market errors occur rarely . Other approaches to the problem include Lo ( 1986 ) who introduces parameter uncertainty , Clément ...
... errors in the Black / Scholes model : model error and market error , which they distinguish by assuming that market errors occur rarely . Other approaches to the problem include Lo ( 1986 ) who introduces parameter uncertainty , Clément ...
Contenido
Solving Robust Optimization Models in Finance | 1 |
FINANCIAL COMPUTING ENVIRONMENTS | 14 |
MARKET BEHAVIOR MODELS | 27 |
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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
Adaptive RPCL-CLP analysis applications approach Artificial Neural Networks attributes average Black/Scholes bootstrap calculated call market classification cluster companies computed correlation dimension currency data set days to expiration decision defined described determine deterministic distribution dynamical systems economic efficient equation estimate evaluation example exchange rate factors Figure financial ratios financial time series forecasting future futures contracts fuzzy set GEMGA Genetic Algorithms IEEE implementation implied volatilities Index Prices indices input interest rate Journal Kalman filter layer linear linear regression local volatility MACD mathematical models Mean-Filtered measure method Moneyness neural network node nonlinear open-to-open optimization option prices option valuation output paper patterns performance prediction private ECU problem random Recon regression model residual returns RMSVE rules sample selection simulation standard deviation statistical stochastic Stock Exchange stock market stock market index structure techniques University variables vector volatility function