Обложка Modelling and Forecasting of Information Technology Stock Prices
Название книги:

Modelling and Forecasting of Information Technology Stock Prices

Lift the Veil of Hight-tech Myth

LAP LAMBERT Academic Publishing (2010-12-27 )

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ISBN-13:

978-3-8433-8809-2

ISBN-10:
3843388091
EAN:
9783843388092
Язык Книги:
Английский
Краткое описание:
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.
Издательский Дом:
LAP LAMBERT Academic Publishing
Веб-сайт:
https://www.lap-publishing.com/
By (author) :
Fang Liu
Количество страниц:
112
Опубликовано:
2010-12-27
Акции:
В наличии
Категория:
Экономика
Цена:
49.00 €
Ключевые слова:
Monte Carlo Simulation, Black-Scholes formula

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