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

Liu, Fang

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

Inhaltsangabe

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.

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Über die Autorin bzw. den Autor

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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Verlag
LAP LAMBERT Academic Publishing
Erscheinungsdatum
2010
Sprache
Englisch
ISBN 10 
3843388091
ISBN 13 
9783843388092
Einband
Taschenbuch
Anzahl der Seiten
112
Kontakt zum Hersteller
Nicht verfügbar
Verantwortliche Person
Fromm
customerservice@vdm-vsg.de

Brivibas gatve 197
Riga
1039
Lettland