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 172
... distribution ) of the underlying during the interval from time t - the current time to time T - the expiration date - we can price options on the underlying . If we do not know , or cannot know , the price distribution , we can use the ...
... distribution ) of the underlying during the interval from time t - the current time to time T - the expiration date - we can price options on the underlying . If we do not know , or cannot know , the price distribution , we can use the ...
Página 224
... DISTRIBUTION DISTRIBUTION оо PARAMETER 1 VALUE DISTRIBUTION DISTRIBUTION TYPE PARAMETER 1 TYPE AMOUNT OF THE PURCHASE DISTRIBUTION PARAMETER k TIME PASSED SINCE THE PURCHASE OF THE SAME CATEGORY category integer generator input code 3 ...
... DISTRIBUTION DISTRIBUTION оо PARAMETER 1 VALUE DISTRIBUTION DISTRIBUTION TYPE PARAMETER 1 TYPE AMOUNT OF THE PURCHASE DISTRIBUTION PARAMETER k TIME PASSED SINCE THE PURCHASE OF THE SAME CATEGORY category integer generator input code 3 ...
Página 296
... distributed . If a time series is distributed as a jointly gaussian process , then this simplifies the cumulant structure . Note than a gaussian distribution is the only distribution that can be described using the first two cumulants ...
... distributed . If a time series is distributed as a jointly gaussian process , then this simplifies the cumulant structure . Note than a gaussian distribution is the only distribution that can be described using the first two cumulants ...
Contenido
A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Genetic Regression | 1 |
Review Papers | 4 |
High Performance Algorithms for Latticebased Derivative Pricing Models W Li University | 7 |
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
A.M. Best abstract payoff analysis approximation autocorrelation average backpropagation barrier option Bermudan call and put coefficients companies components Computer data mining data set database decision delta-hedging denote derivative distribution dynamics equation error estimate evaluate example exchange rate expert filter financial time series forecasting foreign exchange market FOREIGN EXCHANGE OPTION fraudulent function future fuzzy G G G GARCH Gaussian Genetic Algorithms hedging implied volatility input Journal Kelvin transform kurtosis layer linear mathematical models mean measure method neural network nodes nonlinear operator optimization option pricing output parameters performance period polynomial portfolio prediction predictor price change problem profit put options ratio regression returns risk management sample SCINAPSE Sharpe ratio simulation skewness specific statistical stochastic strategy techniques template test set ticks time-scales training set transaction costs transform tree modeling trigonometric polynomial true price underlying validation set variables variance vector volatility wavelet zero