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Capturing the volatility smile of options on high-tech stocks—A combined GARCH-neural network approach 总被引:1,自引:0,他引:1
A slight modification of the standard GARCH equation results in a good modeling of historical volatility. Using this generated
GARCH volatility together with the inputs: spot price divided by strike, time to maturity, and interest rate, a generated
Neural Network results in significantly better pricing performance than the Black Scholes model. A single Neural Network for
each individual high-tech stock is able to adapt to the market inherent volatility distortion. A single Network for all tested
high-tech stocks also results in significantly better pricing performance than the Black-Scholes model.
Dr. Gunter Meissner (gmeissner@hawaii.rr.com) is president of Derivatives Software, www.dersoft.com, and associate professor
of finance at the Hawaii Pacific University; Noriko Kawano, MSIS, is currently working as a software engineer at Hawaii Dental
Service. The article was presented at the eighth Asia Pacific Finance Conference, Shanghai, July 2000. 相似文献
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The overlapping generations model presented herein requires incorporation of exactly three periods in which one lives, but makes intertemporal decision‐making twice, neither once nor three times. Single decision‐making at the outset, none thereafter, ignores the fact that one makes decisions every day anew as long as tomorrow exists. Incorporating such observations most simply requires decisions to be made at the first period and the second, but not at the third or last period. Our model reveals how the Mabiki (infanticides) and the Narayama (elderlycides) can occur simultaneously. We also find conditions under which child‐indulgence and parental overprotection called sunekajiri might be reckoned a virtue. 相似文献
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We construct a new database of extensive margin changes to multiple aspects of corporate tax bases for OECD countries between 1980 and 2004. We use our data to systematically document the tendency of countries to implement policies that both lower the corporate tax rate and broaden the corporate tax base. This correlation informs our interpretation of previous estimates of the relationship between corporate tax rates and corporate tax revenues, which typically do not include comprehensive measures of the corporate tax base definition. We then re-examine the relationship between corporate tax rates and corporate tax revenues. We find that accounting for unobserved heterogeneity attenuates the relationship between corporate tax rates and corporate tax revenues, and increases the implied revenue-maximizing tax rate. Controlling for our new tax base measures does not substantively impact the magnitude of this relationship. 相似文献
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Masamichi Kawano 《Metroeconomica》1988,39(3):299-315
Hamada showed that the income transfer from capitalists to workers does not increase the income of workers in the long run. His result is based on the nonlinearity of the saving functions. If the saving function of capitalists is concave (or convex), the maximum of workers' income is attained by the positive (or the negative) transfer. There exists a case where the after-tax income of capitalists increases by a positive transfer. The global maximum of capitalists' income is attained when workers' income is all transferred to capitalists, while the global maximum of workers' is attained when capitalists enjoy positive income. 相似文献
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