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Modelling and Forecasting of Information Technology Stock Prices

Lift the Veil of Hight-tech Myth

Bod
Erschienen am 01.12.2010, Auflage: 1. Auflage
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Bibliografische Daten
ISBN/EAN: 9783843388092
Sprache: Englisch
Umfang: 112

Beschreibung

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.

Autorenportrait

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).

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