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Predicting a distribution of implied volatilities for option pricing · Study

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ArticlePredicting a distribution of implied volatilities for option pricing

Seungho Yang2010

Article2010

Predicting a distribution of implied volatilities for option pricing

Seungho Yang · Jaewook Lee

24 citations·0/0 files stored·Expert Systems with Applications

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Gaussian Processes and Bayesian Inference

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References

2003Stochastic Volatility for Lévy Processes 1994A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks 2001Pricing and hedging derivative securities with neural networks: Bayesian regularization, early stopping, and bagging 1994A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks 2007Prediction of pricing and hedging errors for equity linked warrants with Gaussian process models☆

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2010The Econometrics of Option Pricingchapter · 3 shared references 2009Option Pricing With Modular Neural Networksarticle · 3 shared references 2014Parametric models and non-parametric machine learning models for predicting option prices: Empirical comparison study over KOSPI 200 Index optionsarticle · 3 shared references 2006Pricing and trading European options by combining artificial neural networks and parametric models with implied parametersarticle · 3 shared references 2018Generative Bayesian neural network model for risk-neutral pricing of American index optionsarticle · 3 shared references 2007Model Risk for European-Style Stock Index Optionsarticle · 3 shared references

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Year2010

Typearticle

Published2010-08-12

VenueExpert Systems with Applications

ISSN-L0957-4174

Languageen

Citations24

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.eswa.2010.07.095

openalex_workW1970848601

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