Modelling and Forecasting of Information Technology Stock Prices: Lift the Veil of Hight-tech Myth - Brossura

Liu, Fang

Brossura

ISBN 10: 3843388091 ISBN 13: 9783843388092

Casa editrice: LAP LAMBERT Academic Publishing, 2010

Riassunto

In this book, three variances, historical variances of financial series are compared. The variances are: implied variance and the one generated from the GARCH model for Black-Scholes to find out which one is the most suitable method to predict from. The conclusion from this is that the implied standard deviation (ISD) performed best, followed by the GARCH, and the least is the historical volatility. However, the difference between historical volatility and GARCH was not significant. As an alternative, Monte-Carlo simulation was used to calculate European call price for the three companies and find that as the time to step increase, the results converge to the Black-Scholes model.

Su questo libro

L'autore

2009-2011 PhD in Management research from Brunel University (UK) 2007-2008 MSc in Accounting and Finance from Napier University (UK) 2003-2007 BA in Computing and Mathematics from Huai Hai Institute of Technology (China)

Dettagli dell'edizione

• Editore: LAP LAMBERT Academic Publishing
• Data di pubblicazione: 2010
• Lingua: Inglese
• ISBN 10: 3843388091
• ISBN 13: 9783843388092
• Rilegatura: Copertina flessibile
• Numero di pagine: 112
• Contatto del produttore: non disponibile
• Persona responsabile: KreGa Onlinehandel GmbH; 4950000000000; info@krega-onlinehandel.de; ; Birkenweg 31; Brakel; 33034; Germania