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Improving option price forecasts with neural networks and support vector regressions · Study

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ArticleImproving option price forecasts with neural networks and support vector regressions

Xun Liang2009

Article2009

Improving option price forecasts with neural networks and support vector regressions

Xun Liang · Haisheng Zhang · Jianguo Xiao · Ying Chen

78 citations·0/0 files stored·Neurocomputing

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Stock Market Forecasting Methods Stochastic processes and financial applications Forecasting Techniques and Applications

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References

1973The Pricing of Options and Corporate Liabilities 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1979Option pricing: A simplified approach 2016“Options, Futures, and Other Derivatives”2003Options, Futures and Other Derivatives 1997Empirical Performance of Alternative Option Pricing Models 2003Financial time series forecasting using support vector machines

Cited by

2019A Novel Hybrid Model for Stock Price Forecasting Based on Metaheuristics and Support Vector Machine 2016A Data-Driven Fuzzy Information Granulation Approach for Freight Volume Forecasting 2013A real time clustering and SVM based price-volatility prediction for optimal trading strategy 2010Tax forecasting theory and model based on SVM optimized by PSO 2011A hybrid procedure with feature selection for resolving stock/futures price forecasting problems

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2016A new hybrid parametric and machine learning model with homogeneity hint for European-style index option pricingarticle · 10 shared references 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applicationsarticle · 8 shared references 2004Option-Implied Risk-Neutral Distributions and Risk Aversionbook · 7 shared references 2018Risk-Neutral Densities: A Reviewreview · 7 shared references 2004Option Pricing: Valuation Models and Applicationsarticle · 6 shared references 2010The Econometrics of Option Pricingchapter · 6 shared references

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Year2009

Typearticle

Published2009-04-18

VenueNeurocomputing

ISSN-L0925-2312

Languageen

Citations78

Files0 public / 0

ShelfStock Market Forecasting Methods

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doi10.1016/j.neucom.2009.03.015

openalex_workW2010089783

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