Modelling and Forecasting of Information Technology Stock Prices

Name: Modelling and Forecasting of Information Technology Stock Prices
Price: 49.23 USD
Availability: InStock
ISBN: 9783843388092

ISBN-10: 3843388091

ISBN-13: 9783843388092

Edition: N/A

Authors: Fang Liu

List price: $64.00

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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.

Book details

List price: $64.00
Publisher: Lambert Academic Publishing
Binding: Paperback
Pages: 112
Size: 6.00" wide x 9.00" long x 0.27" tall
Weight: 0.396
Language: English