Isbn: 9783843388092 - modelling and forecasting of information technology stock prices: lift the veil of hight-tech myth (6 risultati)

Taschenbuch. Condizione: Neu. Modelling and Forecasting of Information Technology Stock Prices | Lift the Veil of Hight-tech Myth | Fang Liu | Taschenbuch | 76 S. | Englisch | 2010 | LAP LAMBERT Academic Publishing | EAN 9783843388092 | Verantwortliche Person für die EU: preigu GmbH & Co. KG, Lengericher Landstr. 19, 49078 Osnabrück, mail[at]preigu[dot]de | Anbieter: preigu. …

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Taschenbuch. Condizione: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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. 112 pp. Englisch.…

Condizione: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Liu Fang2009-2011 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).…

Taschenbuch. Condizione: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - 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.…

Taschenbuch. Condizione: Neu. This item is printed on demand - Print on Demand Titel. Neuware -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.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 76 pp. Englisch.…