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Modelling and Forecasting of Information Technology Stock Prices

 

Marketed By :  LAP LAMBERT Academic Publishing   Sold By :  Kamal Books International  
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  • Product Description
 

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.

Product Specifications
SKU :COC10290
AuthorFang Liu
LanguageEnglish
BindingPaperback
Number of Pages112
Publishing Year12/27/2010
ISBN978-3843388092
Edition1 st
Book TypeEconomics
Country of ManufactureIndia
Product BrandLAP LAMBERT Academic Publishing
Product Packaging InfoBox
In The Box1 Piece
Product First Available On ClickOnCare.com2015-07-23 00:00:00
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