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

Liu, Fang

 
9783843388092: Modelling and Forecasting of Information Technology Stock Prices: Lift the Veil of Hight-tech Myth
Couverture souple
ISBN 10 : 3843388091 ISBN 13 : 9783843388092
Editeur : LAP LAMBERT Academic Publishing, 2010

Synopsis

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.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

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.

Biographie de l'auteur

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)

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
LAP LAMBERT Academic Publishing
Date d'édition
2010
Langue
anglais
ISBN 10 
3843388091
ISBN 13 
9783843388092
Reliure
Broché
Nombre de pages
112
Coordonnées du fabricant
non disponible
Personne responsable
KreGa Onlinehandel GmbH
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info@krega-onlinehandel.de

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